Microencapsulated Phase Change Materials (MEPCMs) represent a breakthrough in the realm of thermal energy storage (TES), providing enhanced stability and expanding the scope of applications across diverse industries. Encapsulating phase change materials within microcapsules, significantly improved the thermal, chemical, and physical properties, thereby increasing the efficiency and reliability of TES systems. Integrating these micro- encapsulated PCMs into systems from domestic heating and cooling to industrial waste heat recovery can significantly curtail energy usage and improve thermal management. This review delves into the classification of PCMs, including inorganic, organic, and eutectic varieties, and examines the critical requirements for shell materials used in microencapsulation. Various encapsulation techniques, including chemical, physicochemical, and physico-mechanical methods, and characterization techniques for performance evaluation are discussed. The economic aspects of MEPCM-based TES systems are also considered, along with recent advances in microencapsulation techniques, highlighting the wide-ranging applications of MEPCMs in sectors such as solar energy storage, packaging, textiles, electronics, and building, underscoring their role in advancing sustainable energy solutions. This review will serve as a comprehensive resource for researchers and industry professionals, offering valuable insights into the development, characterization, and application of MEPCMs, and guiding future innovations in thermal energy storage technologies.