Capric acid (CA) is one of the most promising phase change materials to be used in reducing the energy consumption of buildings due to its suitable phase change temperature and high latent heat. In this paper, a novel shape-stabilized phase change material (SSPCM) is fabricated by “hazardous waste” fly ash (FA) via simple impregnation method along with CA and carbon nanotubes (CNTs). In this composite, raw FA without any modification serves as the carrier matrix to improve structural strength and overcome the drawback of the leakage of liquid CA. Simultaneously, CNTs act as an additive to increase the thermal conductivity of composites. The results of leakage tests indicate that CA was successfully confined as 20 wt % in the composite. Then, various characterization techniques were adopted to investigate the structure and properties of the prepared SSPCM of CA/FA/CNT. Scanning electron microscopy and Fourier transform infrared spectroscopy results showed that CA was well adsorbed into the microstructure of FA, and there was no chemical interaction between the components of the composites. Thermogravimetric analysis results demonstrated that the SSPCM presented good thermal stability. Differential scanning calorimetry results indicated that the melting temperature and freezing temperature of CA/FA/CNT were 31.08 and 27.88 °C, respectively, and the latent heats of CA/FA/CNT during the melting and freezing processes were 20.54 and 20.19 J g^–1, respectively. Moreover, compared to the CA and CA/FA, the heat transfer efficiency of CA/FA/CNT was significantly improved by doping 1, 3, 5, and 7 wt % of CNT. All of the results suggest that CA/FA/CNT possessed comfortable melting and freezing temperatures, excellent thermal stability, high latent heat value, and favorable thermal conductivity, and therefore, it is a suitable thermal storage material for building applications. Simultaneously, CA/FA/CNT can improve the comprehensive utilization level of FA.