Current energy problems have driven the development of thermal storage technology based on phase change materials (PCMs). However, the leakage and flammability of organic PCMs appeared as troublesome agendas that deserve attention. In this article, the strategy of constructing phase change capsules with paraffin wax (PW) core and multilayer shell was proposed aiming to address the above issues. For the integrated multi-layer shell, silica (SiO2) acts as initial layer to encapsulate the PW core, and then tannic acid (TA) was creatively taken to bridge the subsequent flame retardant layered double hydroxides (LDH) layer on the surface of the silica shell, and polyvinyl alcohol (PVA) layer was further introduced to improve the compatibility of phase change capsules with polymer matrix. Characterization of chemical structure and morphology confirmed that phase change capsules with LDH modified silica multilayer shell (M-EPCMs) was successfully prepared. The results indicated that M-EPCMs, particularly the representative M-EPCM-5, possessed outstanding thermal stability, excellent leak proofness, good thermal regulation performance as well as long-term cycling stability. Importantly, M-EPCM-5 with the thickest LDH layer can self-extinguish when exposed to fire, and especially can keep the integrity of its shell without breakage after being heated at high temperature. Furthermore, the silicone rubber foam (SRF) composite containing M-EPCM-5 can reach UL-94V-1 level, indicating the flame retardancy of SRF matrix was improved significantly. The possible flame retardant mechanism revels that LDH can not only accelerate the formation of dense ceramic protective layer in condensed phase, but also release non-combustible gases (H2O, CO2) in gas phase, thus improving the fire retardancy of M-EPCMs. Therefore, the construction strategy proposed in this article represents a powerful means to improve flame retardancy and prevent leakage of phase change capsules at the same time, which will greatly expand the application scope of PCMs.