This paper presents a novel shape-stable phase change material (PCM) composite for thermal energy storage applications. The formulation of the material consists of the components: eutectic nitrate (NaNO3-KNO3) as thermal storage material, expanded graphite (EG) for improving structural stability and thermal conductivity, and SiO2 nanoparticles for improving specific heat. The material was successfully prepared by the mechanical dispersion method. The effects of EG and SiO2 nanoparticles additives on the thermophysical properties of the composite were investigated by SEM, STA, and LFA. The results showed that EG, SiO2 nanoparticles and eutectic nitrate have excellent chemical compatibility. The specific heat of the composite was 3.92 J/(g·K), which was 2.58 times higher than that of eutectic nitrate when the content of EG and SiO2 nanoparticles was 15 wt% and 1 wt%, respectively. The latent heat of the composite decreased with the increase of EG mass fraction, but overall an increase in energy storage density was found due to the addition of SiO2 nanoparticles. The thermal conductivity of the composite with 15 wt% EG and 1 wt% SiO2 nanoparticles was significantly increased by about 16.2 times compared with that of eutectic nitrate. Furthermore, thermal cycle stability was tested. The NaNO3-KNO3/1 wt% nano-SiO2/15 wt% EG composite showed no obvious specific heat change after 100 thermal cycles and 100 h high-temperature test, respectively. The prepared NaNO3-KNO3/nano-SiO2/EG composite has a promising application prospect in the high-temperature energy storage.