Non-leaking, green materials with high content of phase change materials (PCM) can conserve solar energy and contribute to a sustainable society. Here, paraffin was encapsulated by nanocellulose (CNF) through a pickering emulsion method, while simultaneously forming a composite material. The thermodynamic drive for phase separation was confirmed by molecular modeling. Particle formation was characterized by dynamic light scattering and they were processed into stable PCM/ CNF composites in the form of PCM paper structures with favorable mechanical properties. The PCM composite was lightweight and showed a solid content of paraffin of more than 72 wt%. Morphology was characterized using FE-SEM. The thermal regulation function of the PCM composite was demonstrated in the form of a model roof under simulated sunlight. No obvious leakage was observed during heating/cooling cycles, as supported by DSC and SAXS data. The PCM composite can be extended to panels used in energy-efficient smart buildings with thermal regulation integrated in load-bearing structures.