Using Paraffin@melamine resin microcapsules (Pn@MF) as phase change fillers and epoxy resin as support material, a series of composite phase change materials (CPCMs) were obtained by embedding Pn@MF in epoxy resin foam. Scanning electron microscopy shows that the Pn@MF and the epoxy resin foam have good compatibility. With increase of the microcapsule content, the DSC test shows that the phase change enthalpy of CPCMs increases. When the Pn@MF content is 40%, the enthalpy value reaches 102.2 J/g and its leakage rate is only 1.31%, which has a low leakage rate. The thermal conductivity of CPCMs is always lower than 0.14 W/(m·K). With increase of the foaming agent content, the leakage rate of CPCMs decreases, the thermal conductivity decreases, and the mechanical properties first increase and then decrease. An increase in the foaming temperature adversely affects the leak rate, thermal conductivity, and mechanical properties. The low thermal conductivity and leakage rate of CPCMs can be used in the thermal energy storage field.