In this study, novel shape-stabilized phase change materials (SSPCMs) were first prepared via melt blending by employing bio-based poly (lactic acid) (PLA) as the supporting matrix and high-density polyethylene (HDPE) as the phase change working substance for thermal energy storage (TES) applications. Fourier transform infrared spectroscopy (FT-IR) and X-ray diffraction (XRD) results indicated that no chemical reaction occurred between PLA and HDPE during melt processing, but the crystalline regions of HDPE was decreased by the introduction of PLA component. Scanning electron microscopy (SEM), differential scanning calorimetry (DSC), and shape stability tests showed that the PLA50/50HDPE blend with co-continuous phase morphology had good shape stability and thermal energy storage capacity. The co-continuous structure of un-melted PLA component in the PLA50/50HDPE blend could provide strong support for the HDPE component and maintain its shape during the phase change process. The latent heat for the PLA50/50HDPE blend during melting and freezing process are 100.1 J/g and 97.6 J/g, respectively, and the relative enthalpy efficiency reaches as high as 104.2%. After 10 thermal cycles, the thermal parameters of PLA50/50HDPE blend remain nearly constant. It indicated that the PLA50/50HDPE blend as SSPCM had excellent reusability and thermal reliability. The simple thermal energy storage and conversion experiments showed that the PLA50/50HDPE SSPCM owns great potential in solar energy storage or industrial waste heat recovery field.