Abstract: Myristic Acid (MA), as a thermal energy storage material, suffers from low thermal conductivity, leakage tendency, and poor photothermal conversion efficiency. In this study, MA was used as the primary phase change material, with multi-walled carbon nanotubes (MWCNTs) as the encapsulation matrix, and Fe₃O₄ and Al₂O₃ as modifying additives. A series of shape-stabilized composite phase change materials were prepared by melt blending, and their leakage rate, thermal conductivity, thermal stability, latent heat, heat storage/release rates, and photo-thermal conversion performance were systematically evaluated. The results show that increasing the content of MWCNTs, Fe₃O₄, and Al₂O₃ effectively reduced the leakage rate. At 22% MWCNT content, the leakage rate was 0.38%, and further addition of 1%–5% Fe₃O₄ or Al₂O₃ further decreased leakage. The leakage rate increased linearly with the number of thermal cycles, remaining below 5.55% after 50 cycles. The thermal conductivity of MWCNT-22%/MA reached 0.61 W·m⁻¹·K⁻¹, which is 217.86% that of pure MA, while the addition of 5% Fe₃O₄ or Al₂O₃ further increased it by approximately 10%. The incorporation of MWCNTs, Fe₃O₄, and Al₂O₃ resulted in a uniform surface temperature distribution, enhanced heat storage rates, and reduced heat release rates. Compared with MWCNT-22%/MA, the addition of 5% Fe₃O₄ or Al₂O₃ increased the heat storage rate by about 70% and decreased the heat release rate by about 16%. Although the latent heat and MA loading decreased slightly, the melting latent heat remained in the range of 139.03–148.45 J·g⁻¹. Under an irradiation intensity of 1.4 kW·m⁻², the maximum temperature reached 65℃, with a photo-thermal conversion efficiency exceeding 60%. Notably, Fe₃O₄ modification demonstrated superior enhancement in both heat storage and photo-thermal conversion performance of the MWCNT/MA composites, providing valuable technical support and research insights for their practical applications.