The novel quinary fatty acid eutectic (CA-LA-MA-PA-SA) of capric acid, lauric acid, myristic acid, palmitic acid and stearic acid was successfully prepared with the mass ratio of 61.09/24.61/8.13/4.01/2.16. Thereafter, the innovative Ag-coated polyurethane (PU) fibers membranes with different concentrations of Ag, which were selected as a supporting material to adsorb the CA-LA-MA-PA-SA eutectics, were successfully fabricated through electrospinning followed by magnetron sputter. The energy dispersive X-ray confirmed that Ag nanoclusters were successfully deposited on the surface of PU fibers as a result of sputter coating. The observations of atomic force microscope indicated that the surface roughness of the PU fibers significantly increased with increase in coating time. The scanning electron microscope images demonstrated that the CA-LA-MA-PA-SA eutectics were uniformly distributed into the three-dimensional porous structures of uncoated and Ag-coated PU fibers membranes. Furthermore, the differential scanning calorimeter curves suggested that the CA-LA-MA-PA-SA/PU/Ag composites phase change materials (PCMs) possessed melting enthalpies about 110 kJ/kg and melting temperature around 17 °C. The absorption ratios of the CA-LA-MA-PA-SA eutectic in composite PCMs was approximately at 73.74%–83.18%. The investigation on thermal performance indicated that we achieved higher melting and freezing rates of the CA-LA-MA-PA-SA/PU/Ag composites PCMs by increasing coating time. In addition to this, after depositing Ag nanoparticles the melting and freezing times of composites PCMs were shortened to about 21%–65%.