New multifunctional phase change microcapsules with paraffin (Pn) as core and GO and lead tungstate (PbWO4) as double-shell were designed by modified GO Pickering emulsion, and the effect of GO content on Pn@GO@PbWO(4)microcapsules was studied. The morphology, chemical composition, and structure of Pn@GO@PbWO(4)microcapsules were characterized, and their performance was studied in depth. The Pn@GO@PbWO(4)microcapsules had a dense shell and a regular spherical structure. Compared with microcapsules without GO addition, the resultant Pn@GO@PbWO(4)microcapsules could demonstrate high phase change reliability and thermal stability. Most of all, the anti-seepage performance had been greatly improved by 67.27%. The results of contact angle (CA) measurement and gamma-ray shielding test showed that the GO and PbWO(4)double-shell multifunctional microcapsules with superhydrophobic property and good gamma-ray shielding property and high anti-seepage performance had great attraction in expanding the application field of phase change materials.