High thermal conductivity and good mechanical properties are significant for photo-thermal conversion in solar energy utilization. In this work, we constructed a three-dimensional network structure in polyethylene (PE) and ethylene-propylene-diene monomer (EPDM)-based phase change composites by mixing with a carbon nanotube (CNT). Two-dimensional flake expanded graphite in PE-EPDM-based phase change materials and one-dimensional CNT were well mixed to build dense three-dimensional thermal pathways. We show that CNT (5.40%wt)-PE-EPDM phase change composites deliver excellent thermal conductivity (3.11 W m⁻¹ K⁻¹) and mechanical properties, with tensile and bending strength of 10.19 and 21.48 MPa. The melting and freezing temperature of the optimized phase change composites are measured to be 64.5 and 64.2 °C and the melting and freezing latent enthalpy are measured to be 130.3 and 130.5 J g⁻¹. It is found that the composite phase change material with high thermal conductivity is conducive to the rapid storage of solar energy, so as to improve the efficiency of heat collection.