The use of industrial semicoke ash as skeleton material is proposed in this study to fabricate low-cost thermal energy storage materials and shape-stable phase change composites as well as recycle industrial solid waste for building heating. Eight samples with different mass ratios of semicoke ash to NaNO3 are manufactured. Key performance of NaNO3/semi-coke ash shape-stable phase change composite is then investigated using differential scanning calorimetry, laser flash analysis, scanning electron microscopy, X-ray diffraction, and constant-speed pressurization method. Results showed that the sample CC2 with a mass ratio of semicoke ash to NaNO3 of 5:5 demonstrates the absence of visual leakage and deformation and reaches a maximum thermal energy storage capacity of 325.91 J/g in the range of 100 °C to 380 °C, mechanical strength of 96.98 MPa, and maximum thermal conductivity of 1.004 W/(m∙K). In addition, semicoke ash is chemically compatible with NaNO3. Both thermal energy storage capacity and thermal conductivity of sample CC2 increase slightly after 4027 heating/cooling cycles.