Phase change materials (PCMs) can store thermal energy as latent heat through phase transitions. PCMs using the solid-liquid phase transition offer high 100–300 J g⁻¹ enthalpy at constant temperature. However, pure compounds suffer from leakage, incongruent melting and crystallization, phase separation, and supercooling, which limit their heat storage capacity and reliability during multiple heating-cooling cycles. An appropriate approach to mitigating these drawbacks is the construction of composites as shape-stabilized phase change materials which retain their macroscopic solid shape even at temperatures above the melting point of the active heat storage compound. Shape-stabilized materials can be obtained by PCMs impregnation into porous matrices. Porous silica nanomaterials are promising matrices due to their high porosity and adsorption capacity, chemical and thermal stability and possibility of changing their structure through chemical synthesis. This review offers a first in-depth look at the various methods for obtaining composite PCMs using porous silica nanomaterials, their properties, and applications. The synthesis and properties of porous silica composites are presented based on the main classes of compounds which can act as heat storage materials (paraffins, fatty acids, polymers, small organic molecules, hydrated salts, molten salts and metals). The physico-chemical phenomena arising from the nanoconfinement of phase change materials into the silica pores are discussed from both theoretical and practical standpoints. The lessons learned so far in designing efficient composite PCMs using porous silica matrices are presented, as well as the future perspectives on improving the heat storage materials.