Al–Si-based microencapsulated phase change materials (MEPCMs) with a eutectic temperature of 577 °C are promising thermal energy storage (TES) materials owing to their large latent heat. Various preparation methods for Al–Si-based MEPCMs with Al2O3 shells have been reported; interestingly, Al–Si-based MEPCMs have large supercooling that does not depend on the preparation method. Supercooling is an important property of MEPCMs in the engineering aspects of designing a TES system. However, limited studies have reported the mechanism of supercooling in MEPCM. Moreover, the large supercooling of AlSi alloys in microcapsules compared with bulk materials is an interesting phenomenon in the field of physical chemistry. This study investigates the supercooling phenomenon in eutectic, hypoeutectic, and hypereutectic AlSi alloy MEPCMs, that is, AlSi alloys in a microcapsule comprising an Al2O3 shell. For the MEPCM with a hypoeutectic composition, supercooling is not observed because the primary Al acts as a nucleation site. For MEPCMs of eutectic and hypereutectic compositions, supercooling is observed at 25–37 °C. When the MEPCMs are heated to 1000 °C and then cooled, the supercooling degree increases significantly. In MEPCMs with a hypoeutectic composition, the precipitation of primary Al crystals does not occur under these conditions. Such findings contribute to the optimization of the design and operation of TES systems.