Abstract: Phase change materials (PCM) can bridge the gap between heat supply and demand in time and space, and are widely used in heat storage and thermal management systems. However, a single PCM has defects such as easy leakage, volume change, phase separation and corrosion. Therefore, microencapsulated PCM to prepare microencapsulated composite phase change materials (MEPCM) by microencapsulated technology and enhanced by different nano-fillers can not only effectively overcome the above defects, but also improve its thermal performance and operational stability. This paper first introduces the selection principle of the core material and shell of MEPCM, the composition and preparation strategy of MEPCM, focuses on the influence of nano-fillers of different dimensions on the thermal properties of MEPCM, and summarizes the application of MEPCM in the fields of construction, textiles and thermal management. The future research directions and challenges of nano-fillers in rational design and construction of high-performance MEPCM are also discussed.