In order to enlarge the applications of microencapsulated phase change materials (microPCMs), the novel stearic acid (SA)@graphene oxide (GO)/melamine-formaldehyde (MF) multifunctional superhydrophobic microPCMs were prepared with the method of condensation polymerization. We have made a systematical study of the effects of GO content on the SA@GO/MF microPCMs. The morphology and chemical composition characterizations showed the successful fabrication of microcapsules. The differential scanning calorimeter (DSC) identified that microPCMs could store latent heat energy. According to the contact angles (CA) measurement, the microPCMs displayed the water contact angle of 160.2 degrees, which possessed the superhydrophobic property. Moreover, the self-cleaning property of SA@GO/MF microPCMs was demonstrated by designing self-cleaning experiment. The simulated irradiation experiment showed the good photothermal conversion performance of microPCMs. Owing to photothermal energy conversion performance and superhydrophobicity, multifunctional phase change microcapsules could have vital potentials in energy conversion and self-cleaning.