To increase the thermal energy utilization rate of phase change materials (PCMs), an efficient composite structure was devised by integrating graphene oxide (GO) nanosheets and the microencapsulated paraffin with TiO2 shell. A collection of GO/TiO2@paraffin microcapsules was prepared by interfacial condensation polymerization in a sol-gel system, and the microstructure, chemical composition, and thermal properties were studied. Herein, the composite appeared a spherical core-shell structural morphology, and the GO nanosheets self-assemble on the surface of the microcapsules by sharing electrons and hydrogen bonds. The latent heat of microcapsules is more than 160.75 J/g, and the thermal conductivity enhanced from 0.195 to 0.297 W·m−1·K−1 thanks to the highly thermally conductive of GO nanosheets. In addition, the thermal conductivity is almost doubled compared to paraffin and preserving a high phase change enthalpy. It can be observed that most GO nanosheets were dispersed evenly on the surface of TiO2@paraffin microcapsules without obvious agglomeration, while a series of results indicated that paraffin, TiO2, and GO were physically combined. The prepared GO/TiO2@paraffin microcapsules composite PCMs with high thermal conductivity and great energy storage density is widely promising for low temperature heat storage. At the same time, this work provides a novel idea for the application of carbon material in the field of thermal energy storage microcapsule composite PCMs modification.