Phase change materials (PCMs) are promising in many fields related to energy utilization and thermal management. However, the low thermal conductivity and poor shape stability of PCMs restrict their direct thermal energy conversion and storage. The desired properties for PCMs are not only high thermal conductivity and excellent shape stability, but also high latent heat retention. In this study, the boron nitride nanosheets (BNNSs) were bridged by small amounts of GO nanosheets and successfully self-assembled into BNNS/rGO (BG) aerogels by hydrothermal and freeze-drying processes. The BG aerogels with interlaced macro-/micro-pores have been proven to be ideally suited as support frameworks for encapsulating polyethylene glycol (PEG). The obtained composite PCMs exhibit high thermal conductivity (up to 1.12 W m-1 K-1), excellent shape stability (maintain at 90 °C for 10 min), and high latent heat (187.2 J g-1) with a retention of 97.3% of the pure PEG, presenting great potential applications in energy storage systems and thermal management of electronic devices.