Thermal energy storage technology can shift the peak and fill the valley of heat, which lays the foundation for realizing the goal of “emission peak and carbon neutrality”. Among various thermal energy storage techniques, the latent heat storage technology based on composite phase change materials can provide large storage capacity with a small temperature variation, and shows great potential in solving the intermittency issue of renewable energy. As a sustainable and renewable material, natural wood has the advantages of a unique anisotropic three-dimensional structure, perfect natural channel, low price, and rich resources. Therefore, the carbonized wood obtained from high-temperature carbonization of natural wood is an excellent choice as a supporting skeleton of composite phase change materials. On the other hand, polyethylene glycol is widely used in energy storage because of its suitable phase transition temperature (46–65℃), high latent heat (145–175 J/g), and stable performance. In this study, carbonized bamboo is prepared at high temperatures. To improve heat storage, thermal conductivity, and photo-thermal conversion properties, the carbonized bamboo is functionalized by graphene oxide and reduced graphene oxide, respectively. Finally, polyethylene glycol is implanted into modified carbonized bamboo to form shape-stabilized phase change materials. Their microstructures, morphologies, and thermophysical properties are characterized. The experimental results show that graphene oxide and reduced graphene oxide can change the surface polarity of carbonized bamboo, thus reducing the interfacial thermal resistance between the carbonized bamboo skeleton and polyethylene glycol, and improving the encapsulation ratio, thermal conductivity, and photo-thermal conversion efficiency without affecting the crystallization behavior of polyethylene glycol. The encapsulation ratio of carbonized bamboo/reduced graphene oxide/polyethylene glycol ternary phase change material is as high as 81.11% (only 4.67% lower than the theoretical value), its latent heat of melting and solidification are 115.62 J/g and 104.39 J/g, its thermal conductivity is greatly increased to 1.09 W/(m·K) (3.7 times that of pure polyethylene glycol), accompanied by substantial growth in its photo-thermal conversion efficiency, reaching 88.35% (3.1 times that of pure polyethylene glycol). This research develops a biomass-derived porous composite phase change material with high heat storage density, high heat transfer rate, and high photo-thermal conversion ability.