Latent heat storage using alloys as phase change materials (PCMs) is an attractive option for high-temperature thermal energy storage. Encapsulation of these PCMs is essential for their successful use. However, so far, technology for producing microencapsulated PCMs (MEPCMs) that can be used above 500°C has not been established. Therefore, in this study, we developed Al-Si alloy microsphere MEPCMs covered by α-Al2O3 shells. The MEPCM was prepared in two steps: (1) the formation of an AlOOH shell on the PCM particles using a boehmite treatment, and (2) heat-oxidation treatment in an O2 atmosphere to form a stable α-Al2O3 shell. The MEPCM presented a melting point of 573°C and latent heat of 247 J g−1. The cycling performance showed good durability. These results indicated the possibility of using MEPCM at high temperatures. The MEPCM developed in this study has great promise in future energy and chemical processes, such as exergy recuperation and process intensification.