The development of core–shell structured phase change materials (PCMs) with tunable melting points has been attracted much attention for thermal storage of solar energy, and a flexible shell is crucial for their practical applications. Herein, we prepared microencapsulated Al-Cu alloy PCMs (MEPCMs) with a flexible shell by a deposition-oxidizing calcination method. The Cu nanoparticles are chemically deposited on the surface of Al powders by a rapid replacement reaction, which further promotes the formation of Al-Cu alloy microspheres and the oxidation of Al to form Al2O3 shell during oxidation calcination. The prepared MEPCMs show excellent thermal cyclic performance and tunable melting point (549–592 °C). The presence of a thin film between the Al2O3 shell and Al-Cu alloy core may act as a buffer to accommodate volume change during melting-freezing process, obtaining a flexible core–shell structure. The heat storage density of Al-Cu alloy MEPCMs decreases by only 0.09% after 100 melting-freezing cycles, indicating high thermal cycling stability. In addition, the microencapsulated Al-Cu alloys present high latent heat (208.6–222.3 J·g−1) and relatively high thermal conductivity (∼1.8 W·(m·K)−1), which makes it attractive for application in high-temperature thermal storage systems.