The rapid increase in energy consumption for building heating necessitates the development of advanced thermal management technologies. The integration of phase change materials (PCMs) into building systems offers an effective strategy to mitigate energy consumption. However, achieving controlled supercooling, phase separation suppression, and efficient energy harvesting remains challenging. In this study, eutectic hydrated salts (EHSs) composed of disodium hydrogen phosphate dodecahydrate (Na2HPO4·12H2O, DHPD) and sodium thiosulfate pentahydrate (Na2S2O3·5H2O, STP) were developed as PCMs, with sodium metasilicate hydrate (Na2SiO3·9H2O, SMN) used as a nucleating agent to reduce supercooling. The modified melamine sponge (MMS) was employed to adsorb the EHS, preventing phase separation, while a corrosion-resistant, high-strength PU light-curing resin encapsulated the EHSs to form DHPD-STP-based composite PCMs (CPCMs), designated as EHSs/MMS@PU. The resulting EHSs PCMs exhibited a phase transition temperature of 26.1 °C, an enthalpy of 134.54 J/g, and a supercooling degree of 2.3 °C. MMS effectively inhibited phase separation, and the PU coating improved leakage prevention, structural integrity, and cycling stability. In the thermoregulation performance experiments, the phase-change incubator exhibited remarkable efficiency by maintaining a thermally comfortable temperature for approximately three times longer than the blank control incubator. These composites demonstrated superior thermal management capabilities, highlighting their potential as effective thermal envelopes for building applications.