Palygorskite/paraffin phase-change composites were prepared by the combination of purified palygorskite clay and sliced paraffin. Then, this composite was used in the Trombe wall to improve its energy storage ability. Further, its energy storage ability was compared to that of ordinary concrete wall through contrastive test. The experiments show that palygorskite clay is a type of clay mineral with strong adsorption ability, and the purity of natural palygorskite clay can reach up to 97.1% after certain purification processes. Paraffin is well adsorbed by palygorskite, and the test results show that the optimal adsorption ratio is palygorskite: paraffin = 2:1 (mass ratio). Palygorskite/paraffin phase change composites can be obtained by using palygorskite as the adsorbing medium to adsorb paraffin. The composite materials exhibit good heat storage (release) performance, which can store heat with increasing environment temperature and release heat with decreasing temperature. This property not only increases the inertia to environment temperature change, but also promotes the energy migration in different time and space, thus achieving a certain energy-saving effect. The application of palygorskite/paraffin phase change composite materials to the Trombe wall can significantly reduce the fluctuation of indoor temperature and enhance the thermal inertia of indoor environment. From the aspect of energy storage effect, the Trombe wall fabricated using PCMs is significantly superior to the concrete wall with the same thickness.