Thermoregulating microcapsules (MC) with flame-retardant properties were used to produce polyurethane (PU) foams. Thermogravimetric analyses of the microcapsules performed under atmospheric air and nitrogen confirmed that the hexa(methacryloylethylenedioxy) cyclotriphosphazene (PNC-HEMA) monomer raised the amount of residue after exposure to high temperature, proving the formation of a thermally stable char layer. Additionally, the flame-retardant properties of the microcapsules were analyzed by micro-combustion calorimetry (MCC), and the PU foams were tested by both MCC and cone calorimetry. The total heat release and maximum heat release rate were lower for microcapsules containing the flame-retardant PNC-HEMA. The composition of the microcapsules has been proved by MCC and TGA, where the release of the encapsulated phase change material (PCM) occurred at the expected temperature. However, in PU foams, the release of PCM is shifted to higher temperatures. Accordingly, these materials can be considered as an important alternative to commonly used microcapsules containing phase PCMs, where a lower flammability is required for their future application.