•SSPCM’s based on HDPE/paraffin waxes can be prepared using twin-screw extrusion.•The waxes were uniformly dispersed and distributed in the polymer matrix.•SSPCM’s with a high melting point wax (Tm=56–58°C) had latent heats up to 89J/g.•The waxes had a strong plasticising effect on the HDPE.•SSPCM’s with the higher melting point wax were mechanically superior. Shape stabilised phase change materials (SSPCMs) based on a high density poly(ethylene)(hv-HDPE) with high (H-PW, Tm=56–58°C) and low (L-PW, Tm=18–23°C) melting point paraffin waxes were readily prepared using twin-screw extrusion. The thermo-physical properties of these materials were assessed using a combination of techniques and their suitability for latent heat thermal energy storage (LHTES) assessed. The melt processing temperature (160°C) of the HDPE used was well below the onset of thermal decomposition of H-PW (220°C), but above that for L-PW (130°C), although the decomposition process extended over a range of 120°C and the residence time of L-PW in the extruder was <30s. The SSPCMs prepared had latent heats up to 89J/g and the enthalpy values for H-PW in the respective blends decreased with increasing H-PW loading, as a consequence of co-crystallisation of H-PW and hv-HDPE. Static and dynamic mechanical analysis confirmed both waxes have a plasticisation effect on this HDPE. Irrespective of the mode of deformation (tension, flexural, compression) modulus and stress decreased with increased wax loading in the blend, but the H-PW blends were mechanically superior to those with L-PW.