The PEG/EG electro-thermal energy conversion phase change materials (PCMs) are prepared by encapsulating polyethylene glycol (PEG) into expanded graphite (EG) support materials via the vacuum impregnation method. The electro-thermal conversion and thermal properties of the composites with various EG mass fraction are further investigated. The results show that EG not only improve the thermal conductivity of the materials, but also endow it with electric conductivity. When the mass fraction of EG is 5%, the electro-thermal conversion efficiency of PEG/EG composites PCMs reach 80.6% under a voltage of 7 V. In addition, the composites exhibit good shape-stability, high phase change enthalpy value (152.2 J/g) and excellent thermal conductivity. The time of PEG/EG in storing heat process is shortened by 73% compared with pure PEG. Therefore, the composites will have a broad application prospect in electro-thermal energy conversion system and thermal energy storage fields.