Abstract This work concerns with self-reinforced composite phase change materials (CPCMs) for thermal energy storage (TES) to deal with the mismatch between energy generation and demand under deep renewable energy penetration scenarios to combat climate change challenges. It focuses specifically on the cost-effective manufacturing of CPCMs at a large scale, aimed to promote the deployment of CPCMs. For this, a novel high-density-polyethylene (HDPE)/pentaerythritol/graphite CPCM is formulated and manufactured by using a continuous hot-melt extrusion method for the first time. A correlation between the manufacturing parameters and the CPCM structural properties is established. An optimal extrusion rate and the processing temperature are found for producing a dense and homogeneous structure. Thermal characterization of the fabricated CPCM shows a high energy density of 426.17 kJ/kg in a working temperature range between 100 °C and 200 °C. The CPCM also has an improved thermal conductivity of 0.42 w/(m·K), which is 26.02% higher compared with the pure HDPE. A good stability of the fabricated CPCM is observed through 100 times of thermal cycling, which shows a small change of the latent heat. The throughput of the formulated CPCM on a lab-based extruder can reach 2.09 kg/h, and an economic analysis of the produced CPCM indicates a great potential for commercialisation.