Microencapsulated phase change materials (MEPCMs) that encapsulate phase change materials in shell, effectively alleviating the leakage problem, have been widely applied in thermal storage field with great performance. However, the existence of shell hinders thermal conduction between phase change materials and outer space, inducing low thermal conductivity of MEPCMs that constrains their practical uses. Hence, modification of MEPCMs as a widely adopted way can effectively enhance the thermal conductivity of MEPCMs. In this review, components and structure of MEPCMs are first introduced, and microscopic thermal conduction mechanisms from phonon-phonon and electron-phonon interaction perspective are elaborated. Then, recent advances in thermal conductivity enhancement by modifying the shell and core materials is respectively summarized and analyzed by quantitative experimental results and microcosmic mechanism. In addition, the application of modified phase change microcapsules in textile temperature control, slurry and construction is summerized. Finally, the main outlooks and challenges of modified MEPCMs and applications are outlined.