Thermal energy storage (TES) has widely been used in the industrial field, and the high-operating temperature can improve the heat energy conversion efficiency of TES system in applications. Therefore, it is very necessary to develop high-temperature phase change materials (PCMs). The two-step process of microencapsulated PCMs (MEPCMs) was proposed to form the dense composite shell with durable Al2O3 and ZnO in this work, including boehmite treatment and thermal oxidation treatment. The cross section structure, the surface morphology, phase composition, phase change temperature, thermal durability, cycling stability and the formation mechanism of shell were simultaneously investigated. Furthermore, TEM (transmission electron microscope) observation further confirmed that θ-Al2O3 and ZnO shells were formed on the surface of Al-10 wt.%Zn particles, which is helpful to the durability. After 20 cycles of melting-solidification, the latent heat of Al-10 wt.%Zn/Al2O3@ZnO MEPCMs was 119.6 J/g and MEPCMs maintain the completely spherical shape and the dense surface. Moreover, the cracks and leakage of the capsule particles were hardly observed after 20 cycles of melting-solidification. Therefore, the MEPCMs with excellent heat storage capacity and high thermal stability can be extensively used in the recycling such as industrial waste heat, building energy conservation and aerospace.