We prepared a series of homogeneous nanocomposites by suspending Fe2O3 nanoparticles into paraffin wax (PW) matrix. Fe2O3/PW nanocomposites have reduced both solid-solid phase change latent heat capacity (Ls-s) and solid-liquid phase change latent heat capacity (Ls-l) with an increase in the mass fraction of Fe2O3 nanoparticles. There is almost equable solid-solid phase change temperature (Ts-s) between PW and Fe2O3/PW composites, as well as melting temperature (Ts-l). Fe2O3 nanoparticle addition leads to substantial enhancement in the thermal conductivity of Fe2O3/PW and the enhancement ratio increases with the nanoparticle loading. Thermal conductivity of Fe2O3/PW composite with 3.0 wt% nanoparticles is about 0.27 W/(m · K) at 15 °C, which close to that of γ-Al2O3/PW with 5.0 wt% nanoparticles but higher than that of ZnO/PW containing 5.0 wt% nanoparticles. At 60 °C, Fe2O3/PW has higher thermal conductivity than γ-A12O3/PW and ZnO/PW contained with same fraction of nanoparticles.