Microencapsulated phase change materials (MCPCM) as a green energy storage material not only prevent leakage of phase change materials but also increase the heat transfer area of phase change materials. Extensive previous work has shown that the performance of MCPCM depends on the shell material and MCPCM with polymers, as the shell material suffers from low mechanical strength and low thermal conductivity. In this study, a novel MCPCM with hybrid shells of melamine-urea-formaldehyde (MUF) and sulfonated graphene (SG) was prepared by in situ polymerization using SG-stabilized Pickering emulsion as a template. The effects of SG content and core/shell ratio on the morphology, thermal properties, leak-proof properties, and mechanical strength of the MCPCM were investigated. The results showed that the incorporation of SG into the shell of MUF effectively improved the contact angles, leak-proof performance, and mechanical strength of the MCPCM. Specifically, the contact angles of MCPCM-3SG were reduced by 26°, the leakage rate was reduced by 80.7%, and the breakage rate after high-speed centrifugation was reduced by 63.6% compared to MCPCM without SG. These findings suggest that the MCPCM with MUF/SG hybrid shells prepared in this study has great potential for application in thermal energy storage and management systems.