Microencapsulated phase change materials (microPCMs) have been widely applied in solid matrix as thermal-storage or temperature-controlling functional composites. The thermal conductivity of these microPCMs/matrix composites is an important property need to be considered. In this study, a series of microPCMs have been fabricated using the in situ polymerization with various core/shell ratio and average diameter; the thermal conductivity of microPCMs/epoxy composites were investigated in details. The results show that the microPCMs have smooth surface and regular global shape with compact methanol–melamine–formaldehyde shell. The shell thickness does not greatly influence the phase change behaviors of PCM. Moreover, smaller microPCMs embedded in epoxy can improve the thermal transmission ability of composites. The effect of thermal conductivity of composites can be improved with higher volume fraction (10–30%) of microPCMs; and smaller size microPCMs with the same content of PCM may also enhance the thermal transmission area in matrix. Modeling analysis of relative thermal conductivity indicates that mixing higher thermal conductivity additive in PCM or matrix is an appropriate method to improve the thermal conductivity of microPCMs/matrix composites.