The phase change material microcapsules (MPCMs) that can improve energy utilization efficiency is limited in building materials due to poor heat conduction ability and easy burning. In this article, 4,4′-methylene diphenyl diisocyanate (MDI)-grafted carbon nanotube (M-CNT) was inserted into MPCMs (M-C-MPCM) by the in-situ polymerization method. The experiment results showed that carbon nanotube (CNT) was modified by MDI, and circular M-C-MPCM with a diameter of about 160 nm was successfully prepared. Compared with other MPCMs, the highest residual weight and lowest heat release of M-C-MPCM indicated that M-CNT significantly improved thermal stability and flame retardancy. The phase change curves and data indicated that M-CNT enhances the heat conductivity of MPCMs and the enthalpy value of M-C-MPCM is 90.28 J/g. Then, the cone calorimeter data of rigid polyurethane foam containing M-C-MPCM (M-C-MPCM/RPUF) showed that the MDI and CNT can synergistically inhibit the heat and smoke generated during combustion. In the temperature test, M-C-MPCM/RPUF kept the minimum temperature fluctuation in the room, displaying excellent temperature regulation performance. Therefore, it can be confirmed that this new thermal insulation material with high flame retardancy and excellent thermal regulation ability will be helpful for the promotion of MPCMs in construction.