Fatty acids as phase change materials (PCMs) are extensively used to alleviate the energy crisis of buildings. The PCM of lauric acid-myristic acid-stearic acid (LA-MA-SA) was synthesized. LA-MA-SA/EG/DE stabilized composite PCMs were synthesized via melting impregnation with an expanded graphite (EG) and a diatomaceous earth (DE). The microstructures and thermal physical properties of the stabilized composite PCMs were determined. The results show that LA-MA-SA is physically adsorbed with EG and DE and has a good adsorption effect. The steady-state tests of thermal conductivity indicate that EG can effectively improve the thermal conductivity of PCM, and the addition of 2%-10% EG can enhance the thermal conductivity by 29.7%-708.2%. The addition of DE can play an active role in shaping for compound and prevents the leakage of PCM. After 100 DSC cycles of the stabilized composite PCM, there is little difference from the phase change temperature and latent heat of the PCMs. According to the results of the heating and cooling tests, the gypsum board of LA-MA-SA/10% EG/10/% DE shows a good heat storage and release performance and a relative thermal comfort time for 0.82 h.