Radial mesoporous silica (RMS) sphere was tailor-made for further applications in producing shape-stabilized composite phase change materials (ss-CPCMs) through a facile self-assembly process using CTAB as the main template and TEOS as SiO2 precursor. Novel ss-CPCMs composed of polyethylene glycol (PEG) and RMS were prepared through vacuum impregnating method. Various techniques were employed to characterize the structural and thermal properties of the ss-CPCMs. The DSC results indicated that the PEG/RMS ss-CPCM was a promising candidate for building thermal energy storage applications due to its large latent heat, suitable phase change temperature, good thermal reliability, as well as the excellent chemical compatibility and thermal stability. Importantly, the possible formation mechanisms of both RMS sphere and PEG/RMS composite have also been proposed. The results also indicated that the properties of the PEG/RMS ss-CPCMs are influenced by the adsorption limitation of the PEG molecule from RMS sphere with mesoporous structure and the effect of RMS, as the impurities, on the perfect crystallization of PEG.