Wearable thermal management has attracted extensive attention of researchers and clinicians due to their great potential application in the field of wearable and smart electronic device. In this research, the flexible PCMs composites as soft and stretchable protective substrates have been prepared for wearable thermal management through simple mixing and curing process of PDMS and paraffin encapsulated inside silica nanoshell (paraffin microcapsules). Systematic experiments have been carried out to illustrate the stress-strain curves, thermal insulating performance, stretchability and other properties varying with temperature. The obtained PDMS composite (P10M7, 7 g paraffin microcapsules in 10 g PDMS matrix) was soft and stretchable which can be subjected to complex deformations (such as stretch, twist, stretch/twist) over 100 % without failures. The silica nanoshells of paraffin microcapsules can not only avoid the leakage of paraffin during solid-liquid phase transition process, but also act as the support reinforced shell to maintain the mechanical properties upon paraffin melting point. Furthermore, the infrared thermal imaging research shown that PDMS composites with paraffin microcapsules exhibited faster temperature increment than PDMS composite with neat paraffin for the good compatibility between PDMS matrix and paraffin microcapsules which can reduce interface thermal resistance and improve thermal conduction during heating procedure. This study provides a feasible strategy to design and fabricate flexible PCMs composites for wearable thermal management device.