Sn@Al₂O₃ microcapsules with core-shell structure using Sn as phase change material were prepared by a sol-gel coating method and subsequent high temperature heat treatment. The samples were characterized by powder X-ray diffraction (XRD), scanning electron microscopy (SEM), energy dispersive spectroscopy (EDS), electron probe micro-analyzer (EPMA) and differential scanning calorimeter (DSC). The influence of core-shell structure under high temperature heat treatment under different atmospheres was further studied, and the thermal cycling stability of the obtained phase change microcapsules was measured. The results showed that the shell thickness of Sn@Al₂O₃ microcapsules was 1∼3 μm with SnO₂-Al₂O₃ double-layer shell. The phase transition temperatures of Sn@Al₂O₃-O₂ and Sn@Al₂O₃-N₂ microcapsules obtained by heat treatment in oxygen and nitrogen atmosphere were about 233^◦C, and the latent heat was 52.0 J/g and 54.5 J/g, respectively. After 100 cycles, Sn@Al₂O₃-O₂ showed an excellent cyclic thermal stability.