AbstractPhase‐change material (PCM) has great thermal energy ability, which has been used as building material for energy conservation. While the most widely used solid–liquid PCM usually appeared leakage during the phase change transition. In order to overcome the leakage of solid–liquid PCM and prepare a viable building energy‐saving materials for indoor temperature regulation, thermal energy storage composites were prepared by utilizing cellulose grafted PEG as phase change material (PCM) and high‐density polyethylene (HDPE) as the substrate. The liquid leakage of PEG was solved after graft to fabricate solid–solid PCM. HDPE is beneficial for solving the leakage and improving the mechanical property by its secondary encapsulation. The synthesized Cellulose‐PEG was characterized by scanning electron microscopy (SEM), X‐ray diffractometer (XRD), and differential scanning calorimetry (DSC). Thermal and mechanical characteristics of the composite were explored. The outcomes revealed that: (1) PEG was successfully grafted to the surface of cellulose and Cellulose‐PEG showed solid–solid phase change behavior. (2) Both the melting‐cooling temperatures and the thermal stability of solid–solid wood plastic composite (SSWPC) had the potential as thermal energy storage material for temperature regulating. (3) The addition of Cellulose‐PEG adversely affected moisture resistance, flexural property, and impact strength due to the weak interface bonding. The physical and mechanical degradation was tolerable for applying situation where mechanical performance is less crucial.Highlights Cellulose‐PEG showed solid–solid phase change behavior without liquid leakage. High‐density polyethylene (HDPE) was used as the matrix to realize the second encapsulation of PCM. Cellulose‐PEG negatively influenced the physical and mechanical property of HDPE. Solid–solid wood plastic composite presented great thermal storage capacity for indoor temperature regulating.