Diatomite-based composite phase change materials (PCMs) with enhanced properties were prepared by vacuum impregnation method for thermal energy storage. Diatomite is used as a supporting matrix in composite PCMs due to its natural high porosity and relatively low price. Particularly, diatomite after microwave-acid treatment (Dm) with higher loading capability compared to raw diatomite was used as a supporting matrix to stabilize lauric acid-stearic acid (LA-SA). To improve the thermal conductivity of the composite PCMs, expanded graphite (EG) was introduced as a support matrix together with Dm at a weight ratio of 1:10 of EG to Dm. FTIR and XRD analysis indicated that the crystal structure of diatomite was not affected by the microwave-acid treatment and addition of EG, and no chemical reaction occurred between LA-SA and supports during impregnation. Devised LA-SA/Dm/EG with 72.2% loadage of LA-SA and a phase change temperature of 31.17 °C had latent heat value of 117.30 J g−1 for melting and 114.50 J g−1 for freezing, respectively. The thermal conductivity of LA-SA/Dm/EG was up to 3.2 times that of LA-SA/Dm. The thermal infrared images presented that the transient temperature response of LA-SA/Dm was enhanced after introducing of 2.5 wt% EG. Therefore, the prepared composite phase change material is a potential candidate for thermal energy storage in the indoor thermal comfort system, especially the building envelope.