To address the low thermal storage performance of solid-liquid phase change composites caused by the encapsulation composite effect, composite-shaped phase change materials based on paraffin (PA)/hydrogenated styrene-butadiene block copolymer (SEBS) were prepared using the melt-blending method. A porous mesh structure was designed to optimize the thermal storage performance of the materials through the modulation of process parameters. First, the optimal mass ratio of SEBS-encapsulated PA was determined to be 2∶8; at this ratio, the 80% PA/20% SEBS composite material was well-shaped, and the mass retention rate was maintained above 99%. Furthermore, the results of the orthogonal experiments showed that the process parameters significantly affected the encapsulation and thermal storage properties of the materials, and the extreme difference in the enthalpy of phase change of the nine groups of 80% PA/20% SEBS samples was as high as 28 J/g. Among them, the enthalpy of phase change was increased by 8% when the melting temperature was increased from 150 ℃ to 200 ℃. The results of the orthogonal experiments also showed that the phase change enthalpy of the 80% PA/20% SEBS composites increased by 8%. The optimized PA/SEBS melt blending process parameters were finally determined as: blending time of 2 h, temperature of 200 ℃, stirring rate of 100 r/min, and direct cooling to room temperature. Under this preparation process, the phase transition enthalpy of the composites reached 161.2 J/g with 99.3% crystallinity.