The invention discloses a high thermal conductivity composite phase change microcapsule and a preparation method thereof. According to the present invention, paraffin stabilized by adopting nanoparticle as the emulsifier and a monomer form an emulsion and polymerization is performed to form the phase change microcapsule adopting the nanoparticles / polymer as the wall material and adopting the paraffin as the core material, wherein the water phase of the emulsion comprises distilled water, modified nanoparticles, an electrolyte and a water-soluble initiator, and the oil phase comprises paraffin, a monomer, a cross-linking monomer and an oil-soluble initiator; the Pickering emulsion preparation technology is used to embed the nanoparticles in the polymer wall layer and arrange densely, such that the effective heat conduction area is large, the thermal conductivity is greatly improved, and the environmental temperature can be effectively regulated; and the phase change microcapsule preparation process is simple, and has characteristics of no volatile organic solvent addition during the preparation process and the treatment process, green environmental protection, no toxicity, good theoretical significance, and good practical value.