Thermal energy storage (TES) can effectively alleviate human dependence on non-renewable energy. In this work, the phase change microcapsules with hydroxyl-rich TiO2 as shell were first prepared by sol-gel and emulsion method, and a bendable film was prepared by embedding TiO2-shell phase change microcapsules (mPCMs) through hydrogen bond between poly(vinylidene fluoride) (PVDF) molecules and hydroxyl groups of TiO2. The results showed that TiO2-mPCMs can be uniformly embedded in the PVDF molecules by hydrogen bonding and the film is still bendable. The prepared film had a thermal conductivity of 0.09 W·m−1K−1 and latent heat of 41.18 J/g. Besides, photothermal experiments showed that it can effectively slow down the temperature rise and storage the thermal energy induced by sunlight. This research may expand the utilization of phase change materials (PCM) in the field of heat insulation and preservation.