Phase change material (PCM) has the potential to be added in coatings for energy-saving while the drawback of low thermal conductivity, poor thermal stability and flammability restrict its application. In this study, a novel halloysite nanotube (HNT) doped PCM (H-PCM) microcapsule was successfully prepared and applied in epoxy resin (EP) coatings (H-PCM-EP) to achieve temperature control. Many characteristics of the prepared PCM microcapsule were examined such as surface morphology, phase transformation performance and combustion data. The results indicated that the H-PCM microcapsule with a clear core-shell structure were successfully prepared. In comparison with the pristine PCM microcapsule, the H-PCM microcapsule had better thermostability and thermal conductivity. While the melting process of capric acid in H-PCM microcapsule advanced from 31.62 °C to 31.04 °C when compared with PCM microcapsule, which was considered as the bridge-like function of HNT. Moreover, the flammability and temperature control ability of H-PCM-EP were also investigated. The data of the peak heat release rate, total heat release, and total smoke release showed that the addition of HNT in PCM microcapsule can significantly reduce the influence of PCM in EP composites on fire hazards. Notably, the results of the small room model test and infrared thermal imager suggested that the application of H-PCM-EP can regulate inner room temperature and maintain a comfortable temperature range with less fluctuation. These properties will promote the application of the H-PCM microcapsule in temperature control coatings.