The incorporation of porous supporting materials to prepare shape-stable phase change materials (PCMs) is of great interest in recent years. However, extensive reported composite PCMs are shape-stable in the air atmosphere but neglected in the water environment. To develop shape-stable and waterproof PCMs is important for their outdoor applications but challenging. Herein, we report a novel cellulose nanocrystal/poly(N-isopropylacrylamide) (CNC/PNIPAM) gel-supported hexadecanol (H-anol) PCM with good thermal storage properties and excellent shape stability in both air and water environments. The CNC/PNIPAM hydrogel is prepared through an ultraviolet-induced C═C cross-linking reaction, and its physical structure and mechanical properties are well characterized. H-anol is then directly immerged into the CNC/PNIPAM alcogel by a facile and low-cost solvent-exchange strategy. The mechanism of the solvent-exchange strategy has been established. Because of the temperature-sensitive hydrophilic/hydrophobic transform behavior of the CNC/PNIPAM network, the CNC/PNIPAM/H-anol PCM displays excellent shape stability in a water environment by forming a dense hydrophobic surface, providing it with great potential in all-weather thermal energy storage applications.