The phase change microcapsule (mPCM) is one of the primary candidates in the fields of energy storage and thermal regulation. In this study, electro-spraying, as a green, high-efficiency electrohydrodynamic atomization technology, is applied to the microencapsulation of two phase change materials (PCM) (n-hexadecane and n-eicosane) with three loading contents (30%, 50%, and 70% by weight) in a polycaprolactone matrix. Ethyl acetate (EA) and chloroform (Chl) were chosen as solvents to prepare the working solutions. The objective of this study is to clarify the microencapsulation process during electro-spraying and to optimize the structure and properties of the electro-sprayed mPCM. The structures, morphologies, and thermal properties of the mPCM were characterized by optical microscopy (OM), scanning electron microscopy (SEM), differential scanning calorimeter (DSC), thermogravimetric analysis (TGA), and fourier transform infrared spectroscopy (FT-IR). Electro-sprayed spherical and non-porous mPCM have been successfully prepared. The mean diameter and the particle size distribution depend mainly on the choice of the n-alkane, as well as the solvent used to prepare the working solutions. Meanwhile, the structure formation of electro-sprayed mPCM and the loading content of PCM were mainly influenced by the evaporation of the solvent and the phase separation between PCM and poly(caprolactone) (PCL) matrix. During the shell formation or PCL solidification, the control of the PCM leaching out of the matrix allows improving the loading content. Finally, based on a high latent heat and simple formation process, the electro-spraying route of PCM is a green, non-toxic, and high-efficiency direction for energy storage and heat regulation.