Phase change material (PCM)/ceramic composite is qualified to be a novel composite thermal energy storage (TES) material, which can simultaneously utilize the latent heat of phase change materials and sensible heat of ceramic matrix materials to accomplish the storage and release of thermal energy. It exhibits a wide application prospect in the field of medium and high temperature thermal energy storage. However, based on the ceramic porous adsorption PCM, there is still the risk of leakage after the PCM melts in the thermal energy storage stage. In this paper, SnBi58 alloy microencapsulated phase change material (MEPCM) with high thermal reliability was prepared by “double-layer coating, sacrificing inner layer” method, which a thermal expansion void was constructed to accommodate volume expansion of PCM. On this basis, SnBi58 alloy MEPCM/ceramic composite was prepared by the cold-pressing sintering method and its thermal performance was studied. The experimental results show that SnBi58 alloy MEPCM/ceramic composite does not leak at the MEPCM/Matrix mass ratio of 2.5:1, but SnBi58 alloy/ceramic composite leaks at the SnBi58 alloy/Matrix mass ratio of 1.5:1, indicating that SnBi58 alloy MEPCM has good thermal reliability and leak resistance. In addition, compared with the ceramic matrix material, the latent heat of MEPCM/ceramic composite with a mass ratio of 2.5:1 is increased by 30.24 J/g and the thermal conductivity reaches 2.853 W/(m·K), which is 3.67 times of the matrix material. Furthermore, thermal performances of four MEPCM/ceramic composite with different proportions were tested and compared, including thermal conductivity, thermal response curve and infrared thermal imaging. The results show that the higher the proportion of MEPCM, the better the thermal performance of the MEPCM/ceramic composite. Moreover, to predict the thermal conductivity of the novel composites, six thermal conductivity models were compared based on the experimental results, and the results show that the prediction error of Maxwell-Eucken is the smallest which can be used to predict the thermal conductivity of MEPCM/ceramic composite. Finally, the thermal reliability of the composite was tested. The results of DSC and XRD showed that the thermal properties and chemical structure basically have no change before and after thermal cycling. MEPCM/ceramic composite has excellent thermal reliability.