Latent heat storage systems are a highly efficient and environmentally friendly way to use residual heat and store renewable energy. Phase change materials, which can absorb or release the enthalpy of phase changes in certain temperature ranges, are considered one of the most reliable latent heat storage and thermoregulation materials. Phase change materials have been successfully used in the fields of solar energy, aerospace and aviation, environmental control and textiles. Among phase change materials, paraffin and n-alkane are the most popular due to their characteristics of high phase change enthalpy, high energy storage density, relative low volume change ratio, good physical and chemical stability, and no super-cooling or phase segregation behavior. More importantly, there are wide selective working temperature ranges which greatly extend their operating conditions. Microcapsules are considered micro scale containers to prevent core from leaking, isolate from the surroundings and maintain chemical and functional stability in service. There are several methods to synthesize microcapsules: spray dying, complex coacervation, sol-gel, in-situ polymerization, suspension polymerization and emulsion polymerization. Among these, suspension polymerization has the advantages of being simple, cheap, stable, eco-friendly and being easily controlled, which makes it the most popular chemical method to synthesize microcapsules. The majority shell materials of traditional microcapsules are synthetic macromolecules. The properties of shell materials impact the application and processing conditions of the final energy storage composite materials greatly. Nevertheless, the low thermal stability and physical strength of polymers in nature strongly restrict application fields of microcapsules. What’s more, the evaporation or sublimation of core materials causes the low thermal stability. In order to overcome these shortages of shell fracture, core leakage, core evaporation or sublimation existing in traditional microcapsules, we design a copolymer microcapsule with strong interaction force between shell and core parts, which has an unseparated surface layer between shell and core. The strong interaction force between shell and core allows the extreme improvement of thermal stability of microcapsules. The copolymer microcapsule is synthesized by suspension polymerization of behenyl acrylate (BeA) and methyl methacrylate (MMA). In this paper, we report the synthesis, size control and structure analysis of P(BeA-co-MMA) microcapsules which have both excellent thermal stability and high thermal energy storage capacity.