Phase change nanocomposites were prepared by dispersing pretreated multi-walled carbon nanotubes (CNTs) into melting paraffin wax (PW). Intensive sonication was used to make well dispersed and homogeneous composites. The thermal properties have been investigated using differential scanning calorimetric (DSC) and transient short-hot-wire method. The latent heat thermal energy storage capacity, L_s and melting point , T_m of the nanocomposites decreases with the mass fraction of CNTs, ϕ_w. The nanocomposite with CNT mass fraction of 2% lowers T_m by about 1°C and decreases L_s by about 2kJ∕kg, compared with pure PW. The thermal conductivity of the nanocomposites increases with ϕ_w in both liquid state and solid state, away from the melting point. The thermal conductivity of the nanocomposite with 2wt% CNTs is higher than that of the pure PW by more than 30% in both liquid state and solid state. And it is about 0.33 W∕mK in solid state.