The leakage and low thermal conductivity of paraffin phase change material (PCM) must be addressed to achieve a more efficient energy storage process. In this study, cellulose nanofibril (CNF) foams were prepared as the porous support of paraffin to prevent its leakage, and multiwalled carbon nanotubes (CNTs) were incorporated in the foams to improve heat transfer performance. Treatment of CNF with methyltrimethoxysilane improved compatibility between the foams and paraffin. The prepared highly porous (porosity >96%) foams had paraffin absorption capacities exceeding 90%. The form-stable PCM composites displayed negligible paraffin leakage and had a compact structure. The prepared PCM composites had enhanced heat transfer performance, reasonable phase change properties and thermal stabilities. The enthalpy of the SCNF/CNT 50-Pw PCM composite decreased by 6% after 100 melting/freezing cycles. Compared with pristine paraffin, the PCM composites exhibited superior form-stabilities and improved thermal properties, which suggested application in a solar-thermal-electricity energy harvesting and conversion system.