Electrospraying is considered to be a green, high-efficiency method for synthesizing phase change microcapsules (mPCMs) for possible applications in the fields of energy storage and thermal regulation. In this study, a coaxial nozzle was used to prepare n-hexadecane/polycaprolactone (PCL) microparticles. The objectives of this study were to investigate the influence of working parameters and solutions on morphology, particle size, thermal properties and encapsulation efficiency. Thus, three theoretical loading contents in n-hexadecane (30%, 50% and 70% w/w) and two concentrations of PCL (5 and 10% w/v) were used. The structures, morphologies and thermal properties of mPCMs were characterized by optical microscopy (OM), scanning electron microscopy (SEM), differential scanning calorimeter (DSC), and thermogravimetric analysis (TGA). Spherical microcapsules with a mean diameter of 10–20 µm were prepared. The increased concentration of n-hexadecane and PCL resulted in a change in the particle size distribution from a poly-disperse to monodisperse size distribution and in a change in the surface state from porous to non-porous. In addition, higher encapsulation efficiency (96%) and loading content (67%) were achieved by the coaxial nozzle using the high core-shell ratio (70/30) and 10% w/v of PCL. The latent heat of the mPCMs reached about 134 J.g−1. In addition, it was also observed that the thermal stability was improved by using a coaxial system rather than a single nozzle.