The development of practical high temperature metallic phase change macrocapsules still faces difficulties, because metallic phase change materials undergo volume expansion during phase transformations, which can lead to outer shell rupture. When a core made of stacked metal powders is used, a cavity is eventually formed inside the capsule that acts as a cushion for volume expansion, thus reducing the risk of capsule rupture. However, the cavity will weaken the thermal storage capacity of the capsule, and in order to obtain a capsule with good thermal storage capacity and long-time cycling stability, it is necessary to find a suitable cavity volume of the capsule. In this paper, Cu powders are used as the core raw material, which are spherelized into millimeter level spheres, and the Cu powder spheres are isostatically pressed using an isostatic presser under different pressures to achieve the optimization of the cavity volume by reducing the gap between the powders. The high strength α-Al2O3 is selected as the shell, and sintering additives MgO and SiO2 are doped into the raw material, and the Cu@MgO-SiO2/Al2O3 capsules are prepared after two-step sintering treatment. The material properties and thermal storage properties of the capsules are investigated in detail, which have strong thermal storage properties, for example, in the temperature interval of 1000-1100 ℃, capsules with a core-shell structure (named as 9@1.5-100MPa, prepared with initial diameter of Cu core of 9mm, shell thickness of 1.5mm, and isostatic pressing under 100MPa to the core precursor) exhibit a high heat storage density of 222J/g and 841 MJ/m³. In addition, we conduct melting-solidification cycle tests, which confirms the excellent durability of the capsules. The comprehensive results show that the Cu@MgO-SiO2/Al2O3 macrocapsules possess strong thermal storage capacity and can be used as effective thermal storage materials, especially in advanced high temperature thermal storage systems.