Encapsulating phase change materials in shells, phase change microcapsules (MEPCMs) effectively settle drawbacks of phase change materials, such as leakage, and are widely used in realms of intelligent temperature control and textiles, building energy conservation, and thermal energy storage systems. To improve the thermal conductivity, melamine urea-formaldehyde@n-hexadecane MEPCMs were modified by adding graphene oxide (GO) to the shell based on in-situ polymerization method. Factors influencing the outcome of modification, including proportion of GO, are explored. Characteristics of MEPCMs are demonstrated with field emission scanning electron microscopy (FE-SEM), Fourier transform infrared spectroscopy (FT-IR), differential scanning calorimetry (DSC), thermogravimetric analysis (TGA), and Hot Disk constant analyser. The results indicate that the GO/ MUF@n-hexadecane MEPCM possesses satisfactory thermal storage performance and thermal stability. As the GO proportion was 0.1wt%, the average latent heat value of MEPCMs was the highest, reaching 217.2 J/g, the encapsulation efficiency was also the highest, reaching 95%. As GO proportion is 0.3wt%, thermal conductivity coefficient of MEPCM is 0.1554W/(m·K), 89.05% higher than unmodified MEPCM, and the microstructure is integrated. This novel material provides a promising solution for the application of carbon material in the field of thermal energy storage microcapsule composite PCMs.