Abstract: The conversion and storage of photothermal energy using phase change materials (PCMs) represent an optimal approach for harnessing clean and sustainable solar energy. Herein, we encapsulated polyethylene glycol (PEG) in montmorillonite aerogels (3D-Mt) through vacuum impregnation to prepare 3D-Mt/PEG composite PCMs. When used as a support matrix, 3D-Mt can effectively prevent PEG leakage and act as a flame-retardant barrier to reduce the flammability of PEG. Simultaneously, 3D-Mt/PEG demonstrates outstanding shape retention, increased thermal energy storage density, and commendable thermal and chemical stability. The phase transition enthalpy of 3D-Mt/PEG can reach 167.53 J/g and remains stable even after 50 heating–cooling cycles. Furthermore, the vertical sheet-like structure of 3D-Mt establishes directional heat transport channels, facilitating efficient phonon transfer. This configuration results in highly anisotropic thermal conductivities that ensure swift thermal responses and efficient heat conduction. This study addresses the shortcomings of PCMs, including the issues of leakage and inadequate flame retardancy. It achieves the development and design of 3D-Mt/PEG with ultrahigh strength, superior flame retardancy, and directional heat transfer. Therefore, this work offers a design strategy for the preparation of high-performance composite PCMs. The 3D-Mt/PEG with vertically aligned and well-ordered array structure developed in this research shows great potential for thermal management and photothermal conversion applications.