The inherent leakage of molten paraffin during the solid-liquid transition and the immature state of industrial technology currently limit its practical applications for temperature regulation in smart energy-saving buildings. Here, a 1H, 1H, 2H, 2H-perfluorodecyltriethoxysilane modification of diatomite with an oleophobic surface was used as a supporting material of molten paraffin for enhancing thermal storage capacity of paraffin/diatomite composite. The results show that an optimal encapsulation ratio of the paraffin/diatomite composite is up to 84.5%, with excellent thermal reliability after a 50-cycle of melting and freezing. The simulation test demonstrates that the indoor temperature is reduced by 5.3 °C in a phase change material room with the paraffin/diatomite composite window as compared to that of an ordinary simulation room. Diatomite with oleophobic surface as a molten paraffin supporting material is effective in improving the thermal storage capacity of the composite. The paraffin/diatomite composite is a potential material with the applications in energy-saving buildings.