Heat energy storage systems were fabricated with the impregnation method using MgO and Mg(OH)2 as supporting materials and polyethylene glycol (PEG-6000) as the functional phase. MgO and Mg(OH)2 were synthesized from the salt Mg(NO3)·6H2O by performing hydrothermal reactions with various precipitating agents. The precipitating agents were NaOH, KOH, NH3, NH3 with pamoic acid (PA), or (NH4)2CO3. The result shows that the selection of the precipitating agent has a significant impact on the crystallite structure, size, and shape of the final products. Of the precipitating agents tested, only NaOH and NH3 with PA produce single-phase Mg(OH)2 as the as-synthesized product. Pore size distribution analyses revealed that the surfaces of the as-synthesized MgO have a slit-like pore structure with a broad-type pore size distribution, whereas the as-synthesized Mg(OH)2 has a mesoporous structure with a narrow pore size distribution. This structure enhances the latent heat of the phase change material (PCM) as well as super cooling mitigation. The PEG/Mg(OH)2 PCM also exhibits reproducible behavior over a large number of thermal cycles. Both MgO and Mg(OH)2 matrices prevent the leakage of liquid PEG during the phase transition in phase change materials (PCMs). However, MgO/PEG has a low impregnation ratio and efficiency, with a low thermal storage capability. This is due to the large pore diameter, which does not allow MgO to retain a larger amount of PEG. The latent heat values of PEG-1000/PEG-6000 blends with MgO and Mg(OH)2 were also determined with a view to extending the application of the PCMs to energy storage over wider temperature ranges.