This paper presents a new type of flame-retardant ultraviolet (UV)-cured epoxy acrylate (EA) that contains microencapsulated phase-change materials (Micro-PCM); the Micro-PCM, which is based on a paraffin core and a melamine-formaldehyde (MF) shell, was synthesized via an in situ polymerization method. To improve the thermal stability of the UV-cured EA/Micro-PCM composite, dimethyl methyl phosphonate (DMMP), with or without octavinyl polyhedral oligomeric silsesquioxane (OVPOSS), was introduced into it. The Micro-PCM properties were characterized by scanning electron microscopy (SEM), Fourier transform infrared spectrometry (FTIR), differential scanning calorimetry (DSC), and thermogravimetric analysis (TGA); the results showed that the MF was successfully fabricated on the surface of the core material, and the Micro-PCM contained similar to 70 wt % core material. The thermal stabilities of the UV-cured EA/Micro-PCM composites and the flame-retardant UV-cured EA/Micro-PCM composites were evaluated by microscale combustion calorimetry (MCC) and TGA, and the results indicated that, when the content of Micro-PCM is <30 wt in the UV-cured EA, the UV-cured EA could protect paraffin from evaporation obviously; in addition, the DMMP and OVPOS showed a great synergistic effect to improve the thermal stability of the UV-cured EA/Micro-PCM composite.