High thermal performance of microencapsulated phase change material (MEPCM) helps to achieve good solar energy storage behavior. Here, n-dodecanol/melamine resin composite microcapsules modified by graphene oxide (GO) with different oxidation degrees were synthesized, which was applied to study how the oxidation degree of GO influenced the thermal properties of MEPCM. The as-prepared microcapsules were all spherical particles with the average latent heat of 170 J/g. TEM analysis showed that MEPCMs with or without GO had obvious core-shell structure with uniform shell thickness. When the dosing of GO was about 0.6 wt%, the thermal conductivity of MEPCM/GO with the minimum oxidation degree was enhanced by 115%, while MEPCM/GO with maximum oxidation degree was increased by 72% in thermal conductivity, greatly improving the energy storage efficiency. The result suggested the as-prepared microcapsules with large energy storage capacity and high energy storage efficiency could be a potential material used for solar energy storage.