New composite adsorbents are proposed to further improve the application of thermochemical energy storage technology in buildings. A volcanic is taken as an adsorption substance, which is impregnated in 36.50 wt% and 54.00 wt% saturated MgCl2 and CaCl2 solutions to prepare composite adsorbents, which are called composite-MgCl2 and composite-CaCl2, respectively. According to the characterization, the main pore structure of the original volcanic is macropores (>100 nm), and hydrated salts tend to fill them. Compared with zeolite-MgCl2, the final water uptake of composite-MgCl2 and composite-CaCl2 increased by 0.15 g/g and 0.03 g/g. Meanwhile, the TG-DSC measurement results show that the thermochemical energy storage densities of composite-MgCl2 and composite-CaCl2 are 1.02 and 1.56 times that of zeolite-MgCl2, which are 642 kJ/kg and 983 kJ/kg, respectively. Moreover, the composition of the thermochemical energy storage densities of the composites is obtained by theoretical calculations, and the theoretically calculated results are close to the measured results. After several cycles, the composites still have high thermochemical energy storage capacity and low energy storage density cost.