Phase Change Material (PCM) has been brought to the fore by the blooming demands of large-scale energy storage. However, the PCM and Heat Transfer Fluid (HTF) are not supposed to contact each other directly due to the risk of leakage, which requires a heat exchanger to realize heat transfer. This may induce extra cost and lower overall heat storage efficiency. In this paper, a novel type of water-proof and high-strength Phase Change Thermal Storage Unit (PCTSU) is fabricated with the method of in-situ polymerization. The phase change material Polyethylene Glycol (PEG) is packaged and coated by Polymethyl Methacrylate (PMMA)/ Isobornyl Methacrylate (IBMA) co-polymer. The P(MMA-co-IBMA) structure renders the PCTSU with the ability to be leakage-free in a water environment and maintain macro shape at high temperatures. Thermal enhance filler Expanded Graphite (EG) is also added, for good measure, EG also plays a role as the second package structure to consolidate the shape-stable character. Mechanical strength and leakage test results validate that the fabricated PCTSU can keep the compression modulus of 5.83 MPa at 65 ℃. The PEG leakage is not detected under high-temperature water immersion environment, proving an ideal water-proof feature. Besides, the PCTSU possesses excellent thermal properties. The phase changes latent heat enthalpy can reach 132 J/g, and the thermal conductivity can reach 1.499 W/(m·K), which renders the PCTSU with ideal heat storage capacity and power density. This new type of PCTSU may provide a high-efficiency solution for large-scale thermal storage equipment design.