Paraffin, due to its linear chain and saturated hydrocarbons with low thermal conductivity, is difficult to transfer energy effectively. Using amphiphilicity of graphene oxide (GO), Pickering emulsion of paraffin@GO was obtained and then paraffin@graphene microencapsulated phase change materials (MEPCMs) were achieved by chemical reduction through adding hydrazine hydrate. Thermally conductive PCMs with segregated structure were constructed by hot compression of paraffin@graphene microencapsules. Scanning electronic microscopy, differential scanning calorimetry and thermal conductivity test were used to characterize microstructure and thermal properties of MEPCMs. Meanwhile, the effect of graphene on the phase change latent heat and phase transition temperature was investigated. Results indicated that GO did not react with paraffin during the process of chemical reduction and the obtained MEPCMs were regular spheres. These MEPCMs had paraffin content of 99% or even more. Graphene working as shell materials increased the phase change latent heat of paraffin from 227.6 to 232.4 J/g, without affecting the phase transition temperature. The hot-compress molding makes graphene shell form segregated structure with more thermal pathways, further enhancing thermal conductivity. The segregated-structure PCMs with high latent heat and thermal conductivity can be applied in energy storage field.