High shape-stable phase change materials (PCMs) are critical for the application of thermal insulation or storage of building energy systems. In this work, the highly shape-stabilized PCM composites were prepared by using hierarchical porous bamboo supporting materials to stabilize polyethylene glycol (PEG). A rapid pretreatment method combining low-intensity microwave processing was employed for the first time to achieve porous bamboo with great structural integrity in which the PEG mass loading could be as high as 210%. The morphological, chemical, and hierarchical porous properties of bamboo supporting materials during the pretreatment process were systematically investigated. Due to the greatly developed pore structure and surface-active functional groups of bamboo supporting matrix, the formation of strong hydrogen bonds along with capillary actions between bamboo and PEG contributes to the excellent thermal storage properties of obtained bamboo-based PCM composites. The differential scanning calorimetry and liquid leakage tests of the composites exhibited high-stable shape and leak-proof performance with the phase change enthalpy high up to 100.6 J/g. This study provided a novel, rapid pretreatment method for bamboo and provided valuable insights for the future application of bamboo-based energy conservation materials.