Latent heat storage, one of the promising methods in energy storage, is an important option for the sustainable use of energy and is attracting more attention day by day. Phase change materials (PCMs) produced for this purpose allow the storage/release of latent heat due to the temperature of the medium and can be obtained using various methods. In this work, the preparation of a new fatty acid based composite phase change material was accomplished by applying simple two-step approach. Here, oleic acid (OA) was employed as PCM, and emulsion templated macroporous polymers (polyHIPEs) as supporting matrices. Furthermore, macroporous supports were also fabricated in the presence of surface modified montmorillonite nanoclay to enhance thermal properties of the targeted composite PCMs. In this respect, a neat macroporous support and surface modified nanoclay enhanced macroporous support were synthesized. Then, the composite PCMs were prepared by filling the macropores of the obtained polymer foams with OA via a solvent-assisted impregnation approach for cold energy storage. The examinations on the thermal characteristics of the composite PCMs were performed through Differential Scanning Calorimetry (DSC), while the chemical structure was analyzed with FT-IR. Besides, polarizing optical microscopy (POM) was used to monitor the loading of OA to macroporous polymer supports. Additionally, the thermal behaviors of composite PCMs were investigated by the temperature-history (T-history) method and the findings were also found to be compatible with DSC. Furthermore, thermal stability of the composite PCMs was investigated through thermogravimetric analysis (TGA). According to DSC results, the prepared composite PCMs are candidates for utilizing cold thermal energy storage such as building cooling, cold protection and cold chain transportation applications with their proper melting temperatures (7.08 °C and 7.40 °C) and moderate latent heat capacities.