The low thermal conductivity of organic shell-based phase change microcapsules severely limits their practical applications in thermal management of high-power-density electronic components. A novel microencapsulated phase change material (MPCM) was synthesized via suspension polymerization with n-Octadecane core shelled by aminated multiwalled carbon nanotubes-doped styrene–divinylbenzene copolymer (SDB/MWCNT-NH2). The chemical structure and micromorphology of the new microcapsules (MPCM/CNT) with various amounts of doped aminated multiwalled carbon nanotubes (MWCNT-NH2) were identified by the Fourier transform infrared spectroscopy and scanning electron microscopy. The thermal properties of various MPCM/CNT samples were analyzed based on the measurements of thermogravimetric analyzer, differential scanning calorimeter and thermal conductivity meter. The results indicated that the microcapsules with MWCNT-NH2 had good thermal stability, heat storage capacity and heat transfer properties. The thermal performance of the microcapsule samples in the low and medium temperature finned heat sink (FHS) was investigated and their thermal performance with that of bare FHS at four constant thermal loads of 5 W, 7 W, 10 W and 15 W was compared. The thermal performance was evaluated based on the time to setpoint temperature, heat dissipated and heat dissipation factors. Compared with the bare FHS, the FHS with the MPCM/CNT-2.5 sample (i.e., 2.5 wt% MWCNT-NH2) exhibited 17.70% longer operation time, 33.01% more heat dissipated, and 16.53% higher heat dissipation factor during heating at 10 W. This study aims to apply the phase change microcapsules modified with high thermal conductivity MWCNT-NH2 in medium and low temperature heat sinks to optimize the thermal management of high power density electronic components and improve the heat dissipation performance of heat sinks. The microcapsules with MWCNT-NH2 showed great potential for applications in thermal management of electronic components.