Abstract: The high-value utilization of coal-based solid waste and the confined encapsulation of phase change materials are recognized as effective routes toward thermal energy storage and industrial solid-waste valorization, with the synergistic regulation of phase change materials by porous frameworks as the central theme. Research advances are systematically reviewed regarding the preparation, performance tailoring, and applications of composite phase change materials confined within porous frameworks derived from coal-based solid waste, with particular focus on the synergistic regulatory mechanism that couples geometric confinement effects and interfacial interactions. The physicochemical characteristics of different solid wastes—including Si/Al composition, pore structure, residual carbon, and surface functional groups—are analyzed as the fundamental basis supporting the confinement-interface synergy. Coal gasification slag is shown to form a “carbon–silicon” bicontinuous mesoporous carrier upon acid etching, which combines the triple advantages of mesoporous confinement, carbon-based thermal conduction, and oxygen-containing functional groups at the interface. Fly ash can be converted into mesoporous silica after modification; coal gangue exhibits enhanced reactivity after thermal activation; and coal cinder, dominated by macropores, requires surface modification. The quantitative influences of pore size and surface functional-group density on phase-transition temperature, phase-change enthalpy, and crystallization behavior are discussed in the framework of the Gibbs–Thomson equation and its extended form. The pore-size dependence of the confinement effect is characterized by three distinct regimes, within which the mesoporous scale enables a trade-off between thermal storage density and cycling stability. A negative correlation is identified between surface silanol density and phase-change enthalpy; amino functionalization is found to weaken excessively strong hydrogen bonding and restore crystallization capacity. The “carbon–silicon” bicontinuous network constructed by residual carbon simultaneously improves thermal conductivity and cycling stability. Various thermal-conductivity enhancement strategies and long-term cycling stability characteristics are summarized. Coal-based composite phase change materials are demonstrated to achieve combined thermal storage and mechanical performance in building matrices, efficient photothermal conversion in solar energy systems, and active temperature-field regulation via endothermic/exothermic phase-change processes in coal-mine thermal hazard control. The cross-scenario commonalities are distilled as follows: precise matching between the phase-transition temperature and the target temperature window serves as the prerequisite; framework-confined interfacial synergy provides the guarantee; and the spatiotemporal distribution of latent heat storage/release constitutes the core. A “three-step design guideline” is proposed for coal-based solid waste frameworks: selection of mesoporous frameworks for moderate geometric confinement, regulation of silanol density to balance interfacial hydrogen-bonding strength, and construction of thermal conduction networks using intrinsic residual carbon or supplemental additives—thereby enabling synergistic optimization of thermal conductivity and thermal storage density. These guidelines provide a technical framework for the structural design and application-oriented selection of coal-based composite phase change materials.