Characterization of the mechanical properties of urea-formaldehyde microcapsules filled with epoxy resin is of importance for achieving self-healing of cementitious composites. In this study, the morphology of microcapsules, including diameter and thickness, was characterized using scanning electron microscopy. The mechanical properties of single microcapsules, including Young's modulus and hardness, were determined through a nanoindentation technology based on the elastic contact theory using a Berkovich indenter. Moreover, to investigate the structural effects of microcapsules, a diamond plate indenter was used, and the Young's modulus of the microcapsule wall was calculated through the ordinary least square optimization method according to three analytical solutions on the basis of thin shell theory, namely Reissner, Pogorelov, and Lukasiewicz methods. It is shown that the results of the contact and thin shell theory were similar, in which the similarity occurs only in the case of a small deformation. When the deformation was large (indentation depth > 900 nm), the structural effect became significant. In addition, the finite element method was applied to simulate the mechanical response of the microcapsules using the results obtained. The validity of the approach was approved.