In recent decades, microcapsules containing phase change materials (microPCMs) have been the center of much attention in the field of latent thermal energy storage. The aim of this work was to prepare and investigate the microstructure and thermal conductivity of microPCMs containing self-assembled graphene/organic hybrid shells. Paraffin was used as a phase change material, which was successfully microencapsulated by graphene and polymer forming hybrid composite shells. The physicochemical characters of microPCM samples were investigated including mean size, shell thickness, and chemical structure. Scanning electron microscope (SEM) results showed that the microPCMs were spherical particles and graphene enhanced the degree of smoothness of the shell surface. The existence of graphene in the shells was proved by using the methods of X-ray photoelectron spectroscopy (XPS), transmission electron microscopy (TEM), and atomic force microscopy (AFM). It was found that graphene hybrid shells were constructed by forces of electric charge absorption and long-molecular entanglement. MicroPCMs with graphene had a higher degradation temperature of 300 °C. Graphene greatly enhanced the thermal stability of microPCMs. The thermal conductivity tests indicated that the phase change temperature of microPCMs was regulated by the graphene additive because of enhancement of the thermal barrier of the hybrid shells. Differential scanning calorimetry (DSC) tests proved that the latent thermal energy capability of microPCMs had been improved with a higher heat conduction rate. In addition, infrared thermograph observations implied that the microPCMs had a sensitivity response to heat during the phase change cycling process because of the excellent thermal conductivity of graphene.