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The phase change microcapsules of modified montmorillonite/paraffin were prepared by Pickering emulsion method. Analytic techniques of optical microscopy, scanning electron microscopy(SEM), infrared spectroscopy(FTIR), differential scanning calorimetry(DSC) and thermogravimetry(TG) were utilized for characterizing chemical structure, morphology and thermal properties. Results show that modified montmorillonite as a new type wall material has excellent performance for protecting core material of paraffin. FTIR spectra of phase change of modified montmorillonite/paraffin microcapsules shows that their characteristic peaks match with corresponding peaks of pure paraffin and modified montmorillonite. DSC results indicate that modified montmorillonite/paraffin microcapsules have similar solid-liquid phase change temperature with pure paraffin. The phase transition enthalpy values of microcapsules with paraffin contents varying from 55% to 80% are 110.5-147.2J/g, indicating that microcapsules have excellent thermal storage performance and the phase change properties can be adjusted by changing contents of paraffin. TG results confirm that modified montmorillonite/paraffin microcapsules have outstanding thermal stability. The presented study indicates that modified montmorillonite is a suitable wall material for preparing paraffin microcapsule. Modified montmorillonite/paraffin microcapsules have advantages of low cost and high performance with a great application potential in the field of thermal storage.