In this study, a novel microencapsulated phase change material, paraffin@Cu-Cu2O, was prepared by a hydrothermal method. The diameters of the microcapsules were 600-900 nm. The micro morphology, chemical compositions, phase change properties, and thermal stability of the products were characterized. It was calculated that the encapsulation efficiency of the microencapsulated paraffin@Cu-Cu2O composite was 62.79%. The melting temperature and freezing temperature of products were close to those of paraffin, but the products had better thermal stability and higher thermal conductivity because of the metal shell materials. Additionally, we compared the paraffin@Cu-Cu2O slurry with paraffin emulsion, and we found that the slurry had better light absorbing properties, thermal conductivity, and photo-thermal conversion performance. The developed material is a promising candidate for application in direct absorption solar collector systems.