n-Alkanes and their blends are characterized as phase change materials (PCMs) due to their superior thermodynamic performances, for storing thermal energy in various practical applications (solar or wind energy). Such materials present some limitations, including lower thermal conductivity, supercooling, phase segregation, and volume expansion, among others. To address these problems, microencapsulation of n-alkanes and their blends is being successfully developed. A considerable amount of work has been published in this regard. Hence, the aim of this review is focused on two aspects: summarize the pure n-alkanes and their blends PCMs; describe their microencapsulation. PCM-interesting characteristics (transition temperatures and enthalpies) of pure n-alkanes, multinary alkanes, and paraffins (over 140 types) were listed, while the phase equilibrium evaluations of multinary alkanes were elaborated on. The essential information, core and shell materials, crystallization and melting characteristics, encapsulation/thermal storage efficiencies, thermal conductivities, and synthesis methods of microencapsulated n-alkanes and their blends, were listed (over 200 types). A brief introduction of the synthesis methods, such as physical, chemical, physical chemical, and self-assembly processes, were presented. The characterization of microcapsules such as thermal properties (phase change behaviors, thermal conductivity, and thermal stability), physical properties (microcapsules size distribution and morphologies, efficiencies, mechanical strength, and leakage), and chemical properties were discussed and analyzed. Finally, the practical applications of microencapsulated n-alkanes and their blends in the fields of slurry, buildings, textiles, and foam were reported.