Energy-saving buildings appeal for the application of thermal storage materials with phase change temperature of 20-30℃, and paraffin is a good candidate. For the convenience of practical applications, paraffin should be encapsulated in order to prevent from leakage. Therefore, shape-stabilized phase change materials (SSPCM) were prepared by blending paraffin with high-density polyethylene (HDPE) and elastomers (e.g., ethylene-propylene-diene copolymer (EPDM) and styrene-butadiene-styrene block copolymer (SBS)). With 60 wt% paraffin, the SSPCMs exhibited good strength even when paraffin was melted. Proper crosslinking helped to increase the strength further. Due to the strong absorption ability of the elastomers, the SSPCMs showed much better durability during harsh freezing-thawing cycles. SSPCMs exhibit poor thermal conduction property and thus cannot respond to temperature changes in time. Expanded graphite (EG) and carbon nanotube (CNT) were introduced to improve the thermal conductivity of SSPCMs. Shear and/or ultrasonic treatment of EG and CNT were carried out to realize even dispersion of these fillers in SSPCMs. However, two treatment methods led to different effects on EG and CNT filled SSPCMs. Finally, thermal conductivity of SSPCMs was increased up to 1 W/m•K. Furthermore, the synergistic effect of EG and CNT was also investigated. Therefore, such SSPCMs are very promising for applications in energy-saving buildings.