Phase change material emulsion (PCME) is a latent functionally thermal fluid prepared by dispersing a phase change material into a carrier fluid with the aid of surfactants. The PCME has a high specific heat capacity and enhanced heat transfer performance in the phase change region, and it shows great potential as a novel heat transfer fluid in air-conditioning systems and solar thermal systems. There have been few literature reviews on PCMEs. In this paper, a comprehensive summary of the research on PCMEs, including the fabrication process, thermophysical properties, rheological behavior, heat transfer performance, and applications in solar thermal systems, is presented. Additionally, directions for further studies and applications of PCMEs are proposed.