Micro-nanoencapsulated phase change materials (M-NEPCMs) are proposed to be useful in liquid desiccant dehumidification by restraining the temperature rise in the moisture-removal process and improving the dehumidification efficiency. In this paper, the n-octadecane M-NEPCMs with desirable thermal properties for internally-cooled dehumidification were fabricated by using compound emulsifiers through the in-situ polymerization method. Melamine-formaldehyde resin was used as the shell material. The effects of the mixing ratio, emulsification methods and amount of the compound emulsifiers on the morphology, size and thermal properties of the M-NEPCMs were investigated experimentally. The optimum weight mixing ratio of the compound emulsifiers is SDS (sodium dodecyl sulfate):Tween80 (polyoxyethylene sorbitan monooleate):Span80 (sorbitan monooleate) = 0.1:0.6:0.3, which achieves the best stability of the n-octadecane emulsion. When the compound emulsifiers are 10 wt. % of the core material, the melting enthalpy of M-NEPCMs reaches its maximum of 145.26 J/g of capsules, with an encapsulation efficiency of 62.88% and a mean diameter of 636 nm. The sub-cooling of the prepared M-NEPCMs is lower than 3 °C, with an acceptable thermal reliability after the thermal cycling test. A pre-emulsification prior to the addition of deionized water in the emulsification is beneficial to the morphology of the capsules, as the phase change enthalpy can be increased by 123.7%.