The current generation is looking for new materials and technology to reduce the dependency on fossil fuels, exploring sustainable energy sources to maintain the future energy demand and supply. The concept of thermal energy storage through phase change materials (PCMs) has been explored by many researchers from academics and industry and exhibits promising progress in terms of development and application. PCMs can be microencapsulated to improve heat conductivity, lower leakage, and prevent possible environmental interactions. The most important methods for the preparation of microencapsulated phase change materials (MPCMs) are emulsion polymerization, suspension polymerization, interfacial polymerization, coacervation, and spray drying. Recent developments in organic and inorganic shell materials that are mechanically, chemically, and thermally stable, as well as being suitable for manufacturing MPCMs in applications for thermal energy storage, are highlighted and examined in this review. Melamine-formaldehyde resin, polyurethane, urea-formaldehyde resin, poly(methyl methacrylate), polystyrene, polyester, silica, calcium carbonate, titanium dioxide, alumina, and others are frequently used materials for the manufacture of the shell of MPCMs. Encapsulating PCMs in inorganic shells can improve their thermal performance because they are non-flammable and have higher thermal conductivity than polymeric shell materials.