Phase change materials are promising alternatives for solar energy harvesting by photothermal conversion and thermal energy storage. In this work, a shape-stabilized phase change material (PCM) was prepared by hot-melt blending of paraffin wax (PW), high-density polyethylene (HDPE), and expanded graphite (EG) to investigate the photothermal conversion and storage performance using a heat flux evolution curve. This study introduced the heat flux evolution curve for the first time to accurately measure phase change duration, which is otherwise underestimated by the conventional temperature curves. The impact of various component compositions on thermal conductivity, energy storage density, PCM leakage, and photothermal conversion efficiency was evaluated experimentally. The results showed that the addition of 20 wt% EG enhanced the thermal conductivity of the composite by 305%. The total energy storage density of the composite varied in the range of 116.7–138.5 J/g during the photothermal conversion study. The composite with 15 wt% EG and 50 wt% PW exhibited a photothermal conversion efficiency of 79.8% when calculated from the temperature evolution curve and 61.8% from the heat flux evolution curve. This difference in efficiency indicates that the temperature evolution curve accounts only for the phase change of PCMs at the point of temperature measurement, while the heat flux evolution curve estimates the phase change of whole PCMs in the composite. Therefore, this work not only provides a shape-stabilized phase change material for the effective utilization of solar energy but also provides some guidelines to accurately calculate the photothermal conversion efficiency.