Nanoencapsulated phase change materials (NePCMs) possess nanometer size and high mechanical stability, which are ideal for thermal energy storage and heat transfer applications. However, the NePCMs also suffer from two main drawbacks, namely the poor thermal conductivity and the supercooling. Here we show by preparation of NePCMs with SiO2/graphene composite shell, we can increase the thermal conductivity by 132.9% in comparison to the NePCMs with SiO2 shell, and completely eliminate the supercooling, while leaving the latent heats almost intact. The method for fabricating the NePCMs is combining interfacial hydrolysis and polycondensation of alkoxy silanes and self-assembly of graphene in miniemulsion. The NePCMs possess matrix type structure and flower like morphology, improved thermal stability, and good thermal reliability. Furthermore, the NePCMs are dispersed in water in a slurry form, for direct absorption solar collector (DASC) application, which show excellent thermal conductivity, specific heat, and photo-thermal conversion efficiency. Compared with pure water, the thermal conductivity of the slurry is increased by 9.6%, and the photo-thermal conversion efficiency is improved from 31% to 70%. This novel NePCMs may find a great variety of applications in thermal energy storage, thermal regulation, smart textiles, and heat transfer fluids.