A solar thermal energy storage material was prepared from expanded vermiculite (EVM) and paraffin by vacuum impregnation. Samples were characterized by thermogravimetric and differential scanning calorimetry (TG-DSC), X-ray diffraction (XRD), Fourier transformation infrared spectroscopy (FTIR), scanning electron microscopy (SEM), petrographic analysis, and thermal conductivity measurements. The results indicated that EVM existed as a phlogopite structure in the EVM/paraffin composite. The composite latent heat was 137.6 J/g at the freezing temperature of 52.5°C and 135.5 J/g at the melting temperature of 48.0°C, when the paraffin content was 67%. The phlogopite structure of EVM benefited paraffin heat transfer because the composite exhibited a thermal conductivity of 0.545 W·(m·K)−1 higher than that of paraffin. Morphology and structural changes of EVM during composite preparation were investigated. The composite exhibited excellent thermal stability and has potential application in solar thermal energy storage and solar heating.