A series of shape-stabilized phase change materials (PCMs), composed of polyethylene glycol (PEG) and halloysite nanotube (HNT) (PEG/HNT), were prepared using a melt-extrusion technique. Chemical and morphological structures, shape-stabilities, thermal properties, and thermal stabilities of the PEG/HNT composites were investigated. The composite properties were strongly dependent on the weight ratio of HNT to PEG. Transmission electron microscopy and Brunauer–Emmett–Teller analyses showed that PEG was perfectly adsorbed into the HNT pores and covered the surfaces of HNT, which helped prevent leakage of melted PEG during a phase change from solid to liquid. Among the various PEG/HNT composites, the PEG/HNT composites with HNT contents in the range 30–50% exhibited good shape-stabilities. Moreover, the rate of heat transfer increased with the HNT content. Based on these results, we expect that the PEG/HNT composites can be used in food packaging materials to counteract the negative effects such as migration induced by unwanted temperature changes.