In this study, an innovative carbon fiber reinforced polymer (CFRP) that obtains thermal storage property by implanting expanded graphite (EG)/paraffin (Pa) composite into carbon fiber interlayer (CFRP-EG/Pa composite) has been synthesized. In the CFRP-EG/Pa composite, EG/Pa composite plays a critical role in bringing about function of thermal storage for the whole composite, making CFRP composite with 9 wt% EG/Pa as an example, differential scanning calorimetry (DSC) result manifests it has melting enthalpy of 12.78 J/g and freezing enthalpy of 12.91 J/g. Besides, EG/Pa composite also contributes to improving the strength, the result demonstrates that flexural strength like CFRP-6wt%EG/Pa has been enhanced by 15.4%, and flexural strength achieves improvement at 65 °C even Pa stays in a molten state compared to CFRP without EG/Pa composite. The melting/freezing thermal cycles results reveal that CFRP-EG/Pa composites have stable and sustainable property, flexural strength have just varied in the ±1.8% interval and above two enthalpy values also change beyond 1.9% after 400 times and 800 times thermal cycles. The thermogravimetric (TG) result indicates CFRP-EG/Pa composite can be applied safely beyond 246.59 °C. Therefore, CFRP-EG/Pa composites have sustainable mechanical property and thermal property to broaden their application.