Polyurea/polyurethane double-composition shell microcapsules with n-octadecane as the main core material were prepared by interfacial polymerization. The outer polyurea shell was formed by the polymerization of toluene-2,4-diisocyanate (TDI) and diethylene triamine (DETA), and the inner polyurethane shell was formed by the polymerization of TDI and polypropylene glycol 2000 (PPG2000). The phase change property, chemical structure, surface morphology, and thermal stability of microcapsules were investigated by differential scanning calorimetry (DSC), FTIR, SEM, TEM, and thermal gravimetric analysis. The results show that the melting temperature and melting enthalpies of double-composition shell microcapsules were 28.6 °C and 143 J g−1, respectively, and only one exothermic peak for n-octadecane and three peaks for microcapsules were observed in the DSC cooling curve. The prepared microcapsules with the average diameter 3 ~ 5 μm had a smooth and compact surface. The thermal stabilities and compactness of the microcapsules with double-composition shells were greatly improved compared to those of the microcapsules with single-composition shells.