This study involved a two-step method of adding multi-walled carbon nanotube (MWCNTs) and alumina (Al2O3) nanoparticles to paraffin wax, forming nanocomposite-enhanced phase change materials (NEPCMs). The NEPCMs in a phase change experiment were influenced by the concentrations of the nano-materials and the heating temperature of water. The objective of this paper is to investigate the optimal parameters of added nano-materials. The experimental results show that the phase change temperature of the paraffin wax slightly increases after adding the nano-materials to the paraffin wax. In addition, the nano-materials in the paraffin wax will reduce the temperature difference between test samples and heating water, indicating that adding the nano-materials can effectively reduce the thermal resistance of the experimental samples and improve the efficiency of thermal energy storage.