Phase change materials (PCMs) serve as the functional medium in latent heat thermal energy storage (LHTES) systems, where their thermophysical properties directly dictate system performance. However, most commercial PCMs exhibit low thermal conductivity (0.2–5.0 W/m·K), which limits heat transfer rates and reduces charging–discharging efficiency. In addition, modest specific and latent heat capacities, together with issues related to supercooling, phase segregation, and stability, further constrain their practical deployment. Nano-composite PCMs, formed by dispersing nanoscale additives in the base material, have emerged as a promising route to overcome these limitations. Reported enhancements in thermal properties can exceed three orders of magnitude compared to pristine PCMs. Nevertheless, significant discrepancies remain among experimental observations, theoretical predictions, and reported enhancement mechanisms, indicating an incomplete understanding of the factors that govern nanocomposite behavior. This review presents a unified critical assessment of more than 230 studies covering organic, inorganic, eutectic, and solid–solid PCM nanocomposites. It systematically evaluates the effects of nanoparticle type, morphology, concentration, fabrication route, and processing conditions on thermal conductivity, latent heat capacity, specific heat capacity, and thermal stability. In doing so, it critically examines the contradictory findings reported in the literature and synthesizes the underlying mechanisms that are responsible for both the enhancement and eventual degradation of performance. Based on these insights, key research gaps are identified and recommendations are provided for the development of predictive models and the future design of high-performance PCM nanocomposites.