PAN/PEG/CNT/cotton composite yarn (PPCCY) was fabricated by impregnating PEG2000–10000 into CNT/cotton yarn (CCY) and coating electrospun PAN around its surface. The effects of PEG type on the morphology, structure, electrical resistance and phase change behavior of the produced composite yarns were studied thoroughly by scanning electron microscopy (SEM), Fourier transform infrared spectroscopy (FTIR), differential scanning calorimetry (DSC), thermal gravimetric(TG), electrical resistance tester and infrared thermal images. The experimental results indicated that the resulting compound yarn consisted of conductive yarn within which the spacing between cotton fibers was fulfilled by PEG, rendering phase transition enthalpy from 126–150 Jg−1. The composite yarn exhibited adjustable temperature and thermal storage and electrical conductivity abilities. The composite yarn demonstrated good responsive properties to external electrical and thermal stimuli and had reversible heat conversion and storage, which shows a promise for applications in electrical wearable fabrics.