The black appearance of asphalt pavement easily absorbs a large amount of solar radiation in hot summer to lower its anti-deformation ability, and asphalt pavement cools down quickly in cold winter to cause cracks. To solve these problems, thermochromic core material (TCM) was encapsulated by the shell material of urea-formaldehyde (UF) resin to prepare thermochromic microcapsule (TM) using situ-polymerization. Then the surface morphology, particle size distribution, chemical composition, phase change property and thermal stability of TM were characterized. After that, emulsified asphalt and acrylic emulsion were selected as film-forming substances to prepare thermochromic asphalt-based composite coating (TACC) after adding different dosages of TM. The surface morphology, chemical composition, thermal storage capacity, phase change property and spectral reflectance of TACC were studied. The results show that TCM is successfully encapsulated by shell material which restricts the thermal conductivity of TCM, making heat transfer process of TM become gentler. Also, the phase change property of TM is still better due to excellent phase change property of TCM. Further, TM particles with the size range of 3.2–4.8 μm are uniformly distributed on TACC surface and show better dispersion in emulsified asphalt. Additionally, TM enhances the thermal storage capacity and thermal stability of TACC. The heat exchange efficiency between asphalt pavement and surrounding environments is increased by added TM particles, improving the thermal stability of TACC. Finally, the increased spectral reflectance in the near-infrared region reflects more solar radiation in hot season because of high reflectivity of TACC on asphalt pavement, which lowers asphalt pavement temperature to improve its anti-deformation ability.