Thermal energy storage plays an important role in solving the problem of mismatch between energy supply and demand, as well as improving energy utilization efficiency. Among the thermal energy storage methods, latent heat energy storage is one of the most promising as it has the advantages of small temperature change and high energy storage density. Phase change materials (PCMs), as latent heat storage materials, have been particularly favored because of their unique ability to absorb/release a large amount of heat energy at a constant temperature during the physical phase transition. Among them, organic solid-liquid PCMs have received extensive attention, however, the problem of liquid leakage significantly limits their practical applications. The most effective ways to solve the leakage of organic solid-liquid PCMs are to combine them with porous support material or to encapsulate them with microcapsules, nevertheless, the resulting phase change materials usually have poor flexibility. Besides, PCMs have low energy conversion ability for other energy forms (such as light and electricity), which seriously limits their applications. In this work, flexible phase change composite films (PEG/CNFs/A-M) were prepared with polyethylene glycol (PEG) as phase change component, carboxyl cellulose nanofibers (CNFs) as supporting material, and acid-treated multi-walled carbon nanotubes (A-M) as light absorber, thermal and electrical conductive filler. The oxygen-containing functional group in CNFs and hydroxyl group in PEG could achieve the effective encapsulation of PEG through hydrogen bonding, which ensured the favorable shape stability of PEG/CNFs/A-M films. Meanwhile, as supporting material, CNFs endowed the composite films with good flexibility that could be folded and bent arbitrarily. Thermal properties were further analyzed by differential scanning calorimeter (DSC) and thermogravimetric analyzer (TG). The results showed that PEG/CNFs/A-M films had high enthalpy (>100 J•g^-1), good thermal stability, and outstanding thermal cycling stability with almost unchanged chemical constitution and enthalpy values during 100 thermal cycles. Moreover, the A-M endowed PEG/CNFs/A-M films with good light absorption, thermal and electrical conductivity. As a result, PEG/CNFs/A-M-7 film could be heated from room temperature to 92.29 ℃ under sunlight radiation of 120 mW•cm^-2 for 240 s, and the photo-thermal conversion efficiency could achieve 90.01%. In addition, under a constant voltage of 8 V for 510 s, the composite film could be heated from room temperature to 89.30 ℃, and the electric-thermal conversion efficiency reached 64.71%. It is believed that the PEG/CNFs/A-M films have considerable potential applications in improving energy utilization efficiency and thermal management.