To overcome the drawback that the electrochemical performance of supercapacitors tends to deteriorate at high working temperatures due to exothermic redox reactions during the charge–discharge process, we designed and fabricated a novel type of polyaniline (PANi)/carbon nanotubes (CNTs)-functionalized hierarchical phase-change microcapsules (MEPCM-PANi/CNTs) as a self-thermoregulatory microelectrode system. In this system, a layer-by-layer shell configuration was constructed by fabricating a SiO2 base shell onto the n-docosane core via emulsion-templated interfacial polycondensation, followed by coating a PANi/CNTs electrochemically active layer through in-situ oxidation polymerization. Such a configuration was identified by morphological observations and chemical characterizations. The resultant MEPCM-PANi/CNTs not only show a good self-regulation capability of temperature and a high latent heat-storage capacity over 140 J/g, but also present several promising advantages for thermal management applications in practice, including excellent phase-change reversibility, high working reliability, long durability, good shape stability, and high heat resistance. Most of all, the MEPCM-PANi/CNTs exhibit better supercapacitor performance than the control sample without PCM core at high working temperatures due to the effective in-situ temperature regulation and thermal management derived from their n-docosane core. Moreover, the combination of PANi and CNTs also makes contributions to an excellent pseudocapacitive behavior and good charge–discharge cycle stability due to the improvement of electric conductivity and ion-accessible specific surface in the electrochemically active layer. This study provides a new strategy for design and development of the smart self-thermoregulatory electrode materials suitably used for high-performance supercapacitors in a broader working temperature range.