The development of phase change materials (PCMs) with high energy storage density, enhanced photothermal conversion efficiency and good form-stability is essential for practical application in utilization of solar energy. Herein, novel PCM composites (CPPCMs) with extremely high energy storage density and superb solar-thermal conversion performance were fabricated by introducing n-octacosane into three-dimensional (3D) porous cellulose nanofibril (CNF)/polypyrrole (PPy) hybrid aerogels. Due to the strong encapsulation capability of CNF/PPy hybrid aerogels (CPAs), the synthesized PCM composites maintained perfect shape stability above the melting point of n-octacosane. Further investigation showed CPPCMs exhibited extremely high latent heat in the range of 239.4–258.4 J/g and high loading rate of n-octacosane (up to 96%). The melting/cooling cycling test and thermogravimetric analysis indicated the composite PCMs possessed excellent cyclic stability and thermal stability. Moreover, simulated sunlight test showed that the photothermal conversion efficiency of CPPCMs significantly improved with the increased content of polypyrrole in the PCM composites. In conclusion, the obtained PCM composites, which exhibited excellent shape stability, superior solar-heat conversion capability and extremely high energy storage density, showed considerable potential for practical utilization and storage of solar energy.