The study aims to obtain leakage-free, thermally stable melamine-urea-formaldehyde (MUF)/paraffin microcapsules modified with cellulose nanocrystals (CNCs) by in situ polymerization technique. The morphological features and physicochemical characteristics of CNCs were investigated by transmission electron microscopy, zeta potential measurement, X-ray diffraction, and Fourier transform infrared spectroscopy. Optical microscope measurement, field emission scanning electron microscopy, thermogravimetric analyzer, and differential scanning calorimetry were employed to characterize the morphology, size distribution, and phase change properties of MUF/paraffin microcapsules. The characterization results showed that MUF/paraffin microcapsules were successfully fabricated and modified with CNCs. The CNCs had no impact on the chemical structure or crystal type of MUF/paraffin microcapsules. When the CNC addition was 0.2 wt%, the phase change latent heat values of melting and crystallization of MUF/paraffin microcapsules were, respectively, about 104.5 J/g and 102.8 J/g and the encapsulation efficiency was about 59.8%.