This study aims to use beeswax, a readily available and cost-effective organic material, as a novel phase change material (PCM) within blends of low-density polyethylene (LDPE) and styrene-b-(ethylene-co-butylene)-b-styrene (SEBS). LDPE and SEBS act as support materials to prevent beeswax leakage. The physicochemical properties of new blended phase change materials (B-PCM) were determined using an X-ray diffractometer and an infrared spectrometer, confirming the absence of a chemical reaction within the materials. A scanning electron microscope was used for microstructural analysis, indicating that the interconnection of the structure allowed better thermal conductivity. Thermal gravimetric analysis revealed enhanced thermal stability for the B-PCM when combined with SEBS, especially within its operating temperature range. Analysis of phase change temperature and latent heat with differential scanning calorimetry showed no major difference in the melting point of the various PCM blends created. During the melting/solidification process, the B-PCMs possess excellent performance as characterized by W70/P30 (112.45 J.g−1) > W70/P20/S10 (94.28 J.g−1) > W70/P10/S20 (96.21 J.g−1) of latent heat storage. Additionally, the blends tend to reduce supercooling compared to pure beeswax. During heating and cooling cycles, the B-PCM exhibited minimal leakage and degradation, especially in blends containing SEBS. In comparison to the rapid temperature drop observed during the cooling process of W70/P30, the temperature decline of W70/P30 was slower and longer, as demonstrated by infrared thermography. The addition of LDPE to the PCM reduced melting time, indicating an improvement in the thermal energy storage reaction time to the demand. According to the obtained findings, increasing the SEBS concentration in the composite increased the thermal stability of the resulting PCM blends significantly. Despite the challenges mentioned earlier, SEBS proved to be an effective encapsulating material for beeswax, whereas LDPE served well as a supporting material. Leak tests were performed to find the ideal mass ratio, and weight loss was analyzed after multiple cycles of cooling and heating at 70 °C. The morphology, thermal characteristics, and chemical composition of the beeswax/LDPE/SEBS composite were all examined. Beeswax proves to be a highly effective phase change material for storing thermal energy within LDPE/SEBS blends.