In this study, the thermal conductivity of shape-stabilized paraffin/high density polyethylene (HDPE) composite phase change material (PCM) was improved by addition of graphite powder (GP) and expanded graphite (EG). GP and EG in different mass fractions were added to PCM, and thermal conductivities of paraffin/HDPE/GP and paraffin/HDPE/EG composites were measured by a Hot Disk Thermal Constant Analyzer. An almost linear relationship between mass fractions of GP and EG additives and thermal conductivity of PCMs was found. Furthermore, the physical structures and thermal properties of the composite PCMs were investigated by scanning electron microscope (SEM) and differential scanning calorimetry (DSC), respectively. The experimental results showed that the thermal conductivities of the shape-stabilized paraffin/HDPE composite PCMs could be greatly improved by addition of EG. When the addition of EG was in the ratio of 4.6 wt%, the thermal conductivity of the PCM was up to 1.36 W m −1 K −1, more than 4 times of that without any additives, which was much better than that by addition of GP. The latent heat of the heat conduction enhanced PCMs decreased little due to small amount of EG, and good uniformity structure was confirmed by SEM in this paper.