The development of shape-stable composite phase change materials (CPCMs) with outstanding light absorption and light-to thermal conversion performance is of great significant for harvesting and converting solar energy. Herein, we proposed a novel shape-stable composite phase change membrane based on multi-shelled hollow spheres (MHS) via a facile method. The MHS was fabricated by hydrothermal reaction and calcination treatment, and membrane was directly coated on glass plates after bonding the MHS. The as-resulted membranes possess excellent tensile strength, superior light absorption and light-to thermal conversion efficiency. The tensile strength of the membrane based MHS loaded 1-Hexadecylamine (HDA) can reach to 1.01 MPa. The light absorption of the membrane is about 93% under 1sun irradiation, and the photothermal conversion efficiency of the membrane is 81.4%. Moreover, the electro-to thermal conversion and heat dissipation of the membrane based CPCM were investigated. The results demonstrate that this membrane-based CPCM can not only be applied in solar energy capture, storage and conversion, but also has the prospect of being applied in the fields of electro-to thermal conversion and heat dissipation.