A novel phase change material (PCMs) of expanded perlite/paraffin/graphene oxide (EP/PA/GO) with enhanced thermal conductivity and leakage-bearing properties was fabricated by depositing GO films on the surface of the EP/PA composite. The as-prepared EP/PA/GO composite was characterized by using differential scanning calorimetry (DSC), thermogravimetric analysis (TGA), Fourier transform infrared spectroscopy (FTIR) and scanning electron microscopy (SEM) techniques. The experimental results indicated that due to the small loading of the GO incorporated, the EP/PA/GO composite showed a small latent heat capacity and weight loss, and the thermal conductivity significantly increased with increasing the content of GO up to 0.5 wt%. The heat storage/release performance test results demonstrated that the EP/PA composite with 0.5 wt% GO had 2 times faster heat storage/release rate compared to the EP/PA composite because of the enhanced thermal conductivity. In addition, the FTIR and TGA results indicated that the EP/PA/GO composite had good chemical compatibility and thermal stability. More importantly, the GO films covering the surface of the EP/PA composite can greatly prevent the leakage problems of molten paraffin. No leakage of paraffin occurred even after thermal cycling 3000 times. Therefore, the EP/PA/GO composite has a great potential for thermal energy storage applications due to its enhanced thermal properties, good leakage-bearing properties and excellent chemical compatibility.