The development of high-efficient working fluids with excellent photo-thermal conversion and heat storage properties is an important factor to solar thermal utilization. In this work, magnetic phase change microcapsules (MPCMs) were prepared via in situ polymerization, where melamine-formaldehyde (MF) resin and octadecane containing oleic acid-coated magnetic nanoparticles (OA-MNs) were used as the shell and core, respectively. The microstructure, magnetic and thermal properties of MPCMs were investigated, and the photo-thermal conversion and heat storage properties of slurries prepared by dispersing MPCMs into multi-walled carbon nanotubes (MWCNTs) nanofluids were explored. The encapsulation efficiency of MPCMs with superparamagnetic nature achieved 63.51%, while the thermal conductivity of MPCMs was slightly increased with regard to phase change microcapsules (PCMs) and the thermal stability of octadecane was enhanced after being encapsulated. Moreover, the slurry with 0.01 wt% MWCNTs and 15 wt% MPCMs had the optimal photo-thermal conversion properties and thermal storage capacity. Beyond that, the recycled MPCMs represented excellent recyclability. Our research demonstrated that the MWCNTs-dispersed MPCMs slurry is one of ideal working fluids with excellent photo-thermal conversion and heat storage characteristics for direct absorption solar collector.