Phase Change Materials (PCMs) comprise materials capable of effectively storing and releasing thermal energy under isothermal conditions, emerging as feasible alternatives to conventional crude oil. Nevertheless, this technology may exhibit the potential leakage of the PCM in the liquid state during phase transition. Aiming at promoting the reliability and stability of this technology, the innovative incorporation of a supporting structure to stabilise the PCMs, thus leading to the so-known Form-Stable Phase Change Materials (FSPCMs), has been devised. This study addresses the synthesis of FSPCMs through a two-step synthetic route: (a) emulsification of polyethylene glycol 400 in silicone oil base fluids, followed by (b) the subsequent crosslinking of the continuous phase. Therefore, the potential implementation of anhydrous phase change emulsions (PCEs) as a platform for FSPCMs and their application in the thermal energy field have been assessed. In this research, the thermal (differential scanning calorimetry, thermal conductivity, thermogravimetric analysis), microstructural, and rheological properties of the formulated FSPCMs were evaluated. According to the results, the proposed synthetic procedure has been proven to allow the formulation of a series of FSPCMs with remarkable energy storage performance, while maintaining suitable mechanical response within the temperature range evaluated.