Phase change material (PCM) is a new kind of material for energy storage; its thermal properties are key factors in determining the application areas and the actual effect. The polyethylene glycol (PEG)/expanded graphite (EG) composite was prepared as a novel form-stable PCM by vacuum impregnation in this study. Nitrogen adsorption test indicated that EG belonged to materials in mesoporous scale with developed porous structure and prodigious adsorbility. The PEG/EG PCM owned excellent sealing performance and remarkable thermal storage capacity. The phase change temperatures and latent heats of the PEG/EG PCM were in range of 18.89–25.93 °C and 97.56–98.59 J·g−1 respectively. TGA and thermal performance manifested that the PEG/EG PCM presented good thermal stability and EG performed favorable conductivity and improved the thermal storage efficiency. The obtained PCMs were suitable for indoor energy saving and thermal comfort improvement.