The traditional microencapsulated phase change materials (PCMs) only have a single function of thermal energy storage. In this study, we designed and synthesized a new type of PCMs-based microcapsules containing an n-eicosane core and ZrO2 shell with the dual-functional characteristics of latent-heat storage/release and photoluminescence. The chemical structures and compositions of the resultant microcapsules were characterized by Fourier-transform infrared spectroscopy, X-ray photoelectron spectroscopy, and energy-dispersive X-ray spectroscopy. These microcapsules exhibited a spherical morphology with a uniform size distribution and well-defined core–shell structure according to the observation of scanning and transmission electronic microscopy. The powder X-ray diffraction patterns confirmed that only the amorphous ZrO2 shell was formed in the sol–gel process. However, the F− ions could induce the phase transition from the amorphous ZrO2 shell to the crystalline one consisting of monoclinic and tetragonal phases. The photoluminescence characterization indicated that the microcapsules with the crystalline ZrO2 shell could generate the purple-colored and green-colored luminescence after excited by UV radiation at a wavelength of 296nm, whereas only the green-colored luminescence was recorded after excitation toward the microcapsules with the amorphous shell. Most of all, the dual-functional microcapsules revealed good phase-change properties, and meanwhile, they achieved a high thermal-storage capability, high thermal reliability, and good thermal stability as a result of encapsulation of the compact ZrO2 shell. The dual-functional microcapsules developed by this work show potential applications for intelligent fibers or textiles, electronic devices, thermosensitive and photosensitive sensors, information-storage units, etc.