Novel microencapsulated phase change materials (MEPCMs) composed of the lead tungstate (PbWO4) shell and paraffin core were designed for shielding of gamma radiation as well as thermal energy storage. Such MEPCMs were prepared via self-assembly methods and in-situ precipitation. The PbWO4 shell with excellent photon attenuation can give the resulting MEPCMs an acceptable gamma radiation shielding capability. The chemical composition and structure of microcapsules samples were studied by X-ray diffractometer (XRD) and Fourier-transform infrared spectroscopy (FTIR). The effects of different core/shell mass ratios on the surface morphology and microstructure of the MEPCMs were determined by scanning electron microscopy (SEM), energy-dispersive spectrometer (EDS), and transmission electronic microscopy (TEM). It was confirmed that the microcapsules exhibit a distinct core-shell structure and a perfect spherical shape. Differential scanning calorimetry (DSC) and thermogravimetric analysis (TGA) were used to present thermal stability and thermal-storage capability of MEPCMs. A high-purity germanium gamma spectrometer to measure the attenuation coefficient of the microcapsules for gamma rays showed that the MECPMs has good gamma-rays-shielding property. The multifunction microcapsules in this study have great potential applications for building energy conservation as well as wearable personal protection in nuclear energy engineering.