Shape-stabled composite phase change materials (CPCMs) with outstanding thermal properties and solar-thermal conversion capabilities are of great importance in the efficient usage of renewable solar energy. In this work, Covalent-Organic Frameworks (i.e., COF TpPa) with excellent solar energy absorption capability were successfully loaded within nickel foam (NF) to form NF/TpPa support by a solvothermal method. Subsequently, polyethylene glycol (PEG2000) was adsorbed into the three-dimensional backbone of NF/TpPa to prepare novel CPCMs. With the introduction of TpPa, the PEG can be stably anchored and prevented from leaking because of the capillary forces and hydrogen bonding. The effects of TpPa content and pore size of NF on the thermal characteristics of CPCMs were explored. The obtained PEG/NF/TpPa composites have high thermal storage capacity (118.26 J·g−1), excellent thermal reliability and 1.9 times thermal conductivity of pure PEG. The pore size of NF has a positive correlation with the thermal conductivity of CPCMs. Remarkably, the solar-thermal conversion and storage capacity of CPCMs are greatly improved by TpPa, with its outstanding capacity for light absorption and high surface areas. The solar-thermal conversion efficiency of CPCMs ranges from 89.58% to 96.80%, which is higher than many of the currently reported solar-responsive CPCMs.