Solid paraffin was encapsulated by water-dispersible Si3N4 nanoparticles (nano-Si3N4) functionalized with amphiphilic polymer chains using an eco-friendly Pickering emulsion route to prepare a sort of composite phase change materials (PCMs) for thermal energy storage. In this method, the oil phase of melted paraffin and monomers could be easily encapsulated and stabilized by the nano-Si3N4 Pickering stabilizer in an aqueous medium. The subsequent polymerization reaction and polymer-induced phase separation of the oil cores allowed for the formation of the phase change composite microcapsules embedded with nano-Si3N4 in the polymer shell. The chemical structure and morphology of the composite PCMs were characterized by Fourier transform infrared spectroscopy and scanning electron microscope, respectively. Results showed that the composite PCMs with a well-defined spherical structure are prepared successfully. In addition, differential scanning calorimeter, thermogravimetric analysis, and thermal conductivity measurement were applied to measure the thermal storage capacity and thermal properties of these microcapsules. These results showed that the microcapsule can achieve the best performances, including high encapsulation efficiency and desirable morphology, with the nano-Si3N4 percentage up to 10 wt% (paraffin mass). Moreover, the thermal conductivity of the prepared PCM microcapsules was significantly enhanced owing to the presence of the nano-Si3N4. The prepared PCM microcapsules are expected to apply in energy storage field.