The present invention relates to a Phase Change Material (PCM) composition comprising a) from 20 to 80 wt % of a PCM; and b) from 20 to 80 wt % of one or more polymers chosen from the group consisting of b1) Very Low Density Polyethylene (VLDPE) having a density equal or lower than 0.910 g/cm.sup.3 measured according to ASTM 792; b2) Ethylene Propylene Rubber (EPR) having a density equal or lower than 0.900 g/cm.sup.3 measured according to ASTM 792; b3) Styrene Ethylene Butadiene Styrene (SEBS) copolymers; and b4) Styrene Butadiene Styrene (SBS) copolymers. The PCM composition of the present invention can be used in applications where thermal management is needed, like for example in building, automotive, packaging, garments and footwear.