Phase change materials (PCMs) hold tremendous potential in sustainable energy utilization, with green preparation and efficient application emerging as key research hotspots in this field. However, PCMs face two persistent challenges in practical use: liquid leakage when temperatures exceed the melting point, and the inherently low thermal conductivity of PCMs. Therefore, we prepared a shape-stable SA/PEG/PDA@CNTs (SPC) composite phase change material using bio-based sodium alginate (SA) as the carrier material, polyethylene glycol (PEG) as the phase change component, and polydopamine (PDA)-modified carbon nanotubes (CNTs) as the functional filler. The results indicate that SPC2 possesses a high phase-change energy storage density, with a melting enthalpy of 137.8 J/g. The introduction of PDA-modified CNTs (PDA@CNTs) significantly improved the thermal conductivity of SPC2, increasing its thermal conductivity by 108%. Meanwhile, PDA@CNTs endow SPC2 with photothermal conversion capability, achieving a photothermal conversion efficiency of 88.4%. Therefore, composite phase change materials designed using this method have advantages such as environmental friendliness, low cost, and excellent thermal performance. Furthermore, this material has promising application prospects in fields such as solar energy utilization, industrial waste heat recovery, and thermal management of electronic devices.