We successfully prepared novel β-cyclodextrin/urea–formaldehyde (β-CD/UF) microcapsules modified by nano-TiO₂ using KH560 silane coupling agent by in situ polymerization and grafting method. The as-prepared TiO₂–β-CD/UF microcapsules displayed excellent energy storage properties with a melting enthalpy of 154.6 J g⁻¹, and the paraffin content in the TiO₂–β-CD/UF microcapsules was as high as 75.94%, indicating a high energy storage capacity. Nano-titanium oxide was successfully reacted onto the surface of the β-CD/UF microcapsules using KH560 by forming new C–O–Si and Ti–O–Si chemical bonds, which was confirmed by FT-IR and XPS technology. Besides, pH played an important role in the encapsulation of phase change paraffin by affecting the curing reaction rate of the shell materials. Also, the thermal decomposition temperature of the TiO₂–β-CD/UF microcapsules was highly improved by about 90 °C compared with that of β-CD/UF microcapsules without treatment by TiO₂ nanoparticles, mainly due to the formation of C–O–Si and Ti–O–Si chemical bonds. The as-prepared TiO₂–β-CD/UF microcapsules in this experiment might be used as an effective and potential media for energy storage.