Paraffin-based phase change materials (PCMs) have emerged as promising candidates for thermal energy storage (TES) applications due to their high latent heat, chemical stability, and low cost. However, their inherently low thermal conductivity and the risk of leakage during melting–solidification cycles significantly limit their practical performance. To address these limitations, numerous studies have investigated composite PCMs in which paraffin is incorporated into porous supporting matrices. Among these, diatomite has garnered particular attention due to its high porosity, large specific surface area, and chemical compatibility with organic materials. Serving as both a carrier and stabilizing shell, diatomite effectively suppresses leakage and enhances thermal conductivity, thereby improving the overall efficiency and reliability of the PCM. This review synthesizes recent research on paraffin–diatomite composites, with a focus on impregnation methods, surface modification techniques, and the influence of synthesis parameters on thermal performance and cyclic stability. The mechanisms of heat and mass transport within the composite structure are examined, alongside comparative analyses of paraffin–diatomite systems and other inorganic or polymeric supports. Particular emphasis is placed on applications in energy-efficient buildings, passive heating and cooling, and hybrid thermal storage systems. The review concludes that paraffin–diatomite composites present a promising avenue for stable, efficient, and sustainable phase change materials (PCMs). However, challenges such as the optimization of pore structure, long-term durability, and large-scale manufacturing must be addressed to facilitate their broader implementation in next-generation energy storage technologies.