Phase change material (PCM) can absorb or release a large quantity of latent heat when it changes phase from solid state to liquid state or vice versa, and has very important applications in thermal energy storage systems. One of the combination methods is incorporating PCM in porous building materials, which are suitable matrix materials for PCM. In this paper, two kinds of ceramsite manufactured from East Lake sludge and paraffin were selected to form phase change composites by using the vacuum impregnation method. Differential scanning calorimeter (DSC) analysis was used to evaluate the phase change behavior. The result showed that the peak temperature (TP) and latent heat of the melting process of the paraffin in ceramsite A and B was a little higher than that of the bulk paraffin.