Understanding the mineralogical and chemical characteristics of stone coal is imperative for exploring the thermal storage characteristics of stone coal. Two types stone coal (SCwt and SChc) were sampled from the pond of a stone coal mine in Henan province (China), and the chemical composition, phase composition, and thermal behavior of the stone coal were investigated. Furthermore, the petrography of the stone coal was studied in detail. The mineral phases of the stone coal were quartz, kaolinite, roscoelite, and goethite, as distinguished by reflected light microscopy and further proven by scanning electron microscope-energy dispersive spectrometer (SEM-EDS). The thermal conductivity of SCwt was 0.19 W m−1 K−1, while that of SChc was 0.24 W m−1 K−1. Stearic acid (SA) was blended with SCwt and SChc to prepare SA/SCwt and SA/SChc composites via an impregnation method, respectively. The thermogravimetric (TG) curves show that the loading capacity of SChc, at 17.40%, is higher than that of SCwt (16.63%). The thermal energy storage capacities of SA/SCwt and SA/SChc composites were 29.21 J g−1 and 33.02 J g−1 according to a differential scanning calorimetry (DSC) analysis. Therefore, SChc is a potential candidate for thermal storage applications due to more obvious thermal storage characteristics, including higher thermal conductivity and loading capacity.