Phase change materials (PCMs), with the green and reversible thermal storage features, have drawn tremendous interest in the energy storage field. However, their advanced application in solar storage is limited by high energy consumption during fabrication, easy liquid leakage, low latent heat and lack of light-to-thermal conversion capability. Herein, the composite PCMs are fabricated by the co-precipitation of Fe₃O₄ nanoparticles and solvent exchange of molten polyethylene glycol (PEG) into layered cellulose skeleton, which replaces ultrasonic dispersion and vacuum impregnation procedures to reduce the energy consumption. The obtained composite PCMs have no leakage even under the weight of 200 times of its mass due to the supporting function of unique layered cellulose skeleton, revealing their excellent encapsulation effect. The introduced Fe₃O₄ nanoparticles endow the composite PCMs with enhanced thermal conductivity (12.7–61.9%), excellent light absorption capacity and light-to-thermal conversion efficiency (70.7–86.7%). The composite PCMs also maintain a high latent heat of 172.6–177.7 J/g, corresponding to 95.3–98.1% of that of pure PEG. Furthermore, the composite PCM coated with hydrophobic fluorocarbon resin exhibits the ability to maintain a relatively constant indoor temperature and self-cleaning when fixed atop the model house roof, indicating their promising potentials for applications in thermal regulation of intelligent buildings. Our approach represents a low-energy strategy for the production of leak-free composite PCMs with excellent light-to-thermal energy conversion.