Low-carbon phase change composites with low cost determines their potential in massive engineering applications. To decrease the cost and carbon emission of phase change composites during the production this work innovatively employs coal gangue as raw material for skeletal material production and NaNO3 as phase change material to prepare phase change composites. Nine shape-stable phase change composites with diverse mass fractions of skeletal material and phase change material were fabricated through a cold compression-hot sintering method. An investigation was conducted into the crucial properties of the coal gangue-based shape-stable phase change composites, encompassing thermal storage capacity, microstructure, mechanical robustness, chemical compatibility, and economic feasibility. The findings revealed that a mass ratio of coal gangue to NaNO3 at 4.5:5.5 (sample SC3) resulted in an optimization of various properties. Specifically, sample SC3 exhibited a mechanical strength of 49.33 MPa and an impressive thermal storage capacity of 399.29 J/g within a temperature range of 100 °C–335 °C, accompanied by a thermal conductivity of 1.484 W/(m⋅K). Notably, sample SC3 maintained excellent thermal storage performance, mechanical strength, and good appearance after enduring 1858 heating and cooling cycles. Furthermore, sample SC3 demonstrated favorable chemical compatibility between components evenly dispersed throughout the sample.