Phase change materials (PCMs) have been widely investigated for their ability to store enormous amounts of heat while maintaining ambient temperature during phase transition. In this study, microencapsulation PCMs (MEPCMs) were synthesized using the Pickering emulsion method to address PCMs’ defects, such as severe leakage during phase transition. In this paper, modified SiO2 nanoparticles are used as emulsion stabilizers, and a polyurethane (PU) shell prepared from biobased soy polyols is used to encapsulate PCM ethyl palmitate for the successful fabrication of microcapsules. According to the findings, when the dosage of modified SiO2 nanoparticles reached 0.5 wt %, the morphologies and mechanical performance of microcapsules reached their optimal condition. Meanwhile, M-SiO2-doped microcapsules have greater thermal stability than pure ethyl palmitate. Differential scanning calorimetry (DSC) analysis indicates that when the core–shell ratio grows, the MEPCMs’ heat storage capacity increases. The latent heat of MEPCMs reached 118.5 J/g as the core–shell ratio reached 2:1. Additionally, a higher core–shell ratio could help alleviate the supercooling phenomenon of microencapsulation PCMs (MEPCMs). Moreover, the MEPCMs’ energy storage efficiency can reach 93.3% after 50 cycles of heat and cold, demonstrating that they have excellent cycle stability.