Polyethylene glycol (PEG) is a widely available and environmentally friendly phase change material known for its high energy storage capacity. However, its application in various industries is limited due to slow heat absorption and release, poor mechanical properties, and inadequate weather resistance. PEG was blended with waterborne epoxy resin (WER) to improve its mechanical properties and weather resistance. Furthermore, graphene nanoplatelets (GNPs) and boron nitride (BN) were incorporated into the WER/PEG resin substrate to prepare WER/PEG/BN@GNP coatings, resulting in enhanced thermal conductivity. When the GNP content was 0.5 wt%, the WER/PEG/BN@GNP coatings performed excellent anti‐corrosion. Otherwise, the leakage of PEG under heat‐cool cycling was addressed by the preparation of WER/PEG/BN@GNP coatings, as well as the low rates of heat absorption and release. In this work, the preparation method successfully combines the phase‐change characteristics of PEG, the outstanding mechanical properties of WER, and the high thermal conductivity of BN and GNP. The WER/PEG/BN@GNP coatings present significant potential for practical applications. Highlights A new coating is prepared by incorporation of BN/GNP into PEG/WER matrix. The prepared coating performs phase change and good heat conduction efficiency. The phase‐transition leakage of PEG is resolved by the combination with WER. The synergy of BN and GNP fillers can enhance thermal conductivity effectively. The prepared coating exhibits insulation and anti‐corrosion at low GNP content. The effect of temperature change on the morphology and thermal conductivity of phase change coatings and the related anti‐corrosion performance.