The phase-change energy storage materials are used in the field of building insulation to achieve a purpose of transferring peak temperature loads and reducing building energy consumption. Well-dispersed two-dimensional montmorillonite nanosheets were prepared, and the energy storage material-paraffin was encapsulated via the adsorption on the surface of its pores (cavities) to form a thin shell structure. The effects of paraffin concentration and cetyltrimethylammonium bromide concentration on the montmorillonite nanosheets and their encapsulation were investigated. The thermal storage properties of the phase-change energy storage composites were analyzed. The phase-change energy storage composite material was applied to the building insulation board, and the mechanical properties and heat storage and temperature regulation performance of the phase-change energy storage insulation board were examined. This composite material can effectively improve its thermal resistance, delay the appearance of peak temperature, and improve the comfort of the indoor living environment, while maintaining the mechanical properties of the insulation board. This work could provide a guidance for the development and application of novel building energy-saving materials.