Unconventional oil and gas reservoirs have become a new focus of energy development due to their wide distribution and abundant reserves. However, the exploitation of these reservoirs is often accompanied by varying temperatures, which impose higher requirements for novel material, equipment, and technology. Recently, phase change microcapsules have been attracting increasing attention in oilfield applications, because they can absorb or release considerable latent heat during the phase change process, enabling stable temperature control. Herein, the current status and future development trend of phase change microcapsules in oilfield applications are reviewed. The classification of phase change materials, including solid-solid, solid-liquid, solid-gas, and liquid-gas phase change materials, is introduced, with an emphasis on their advantages and disadvantages. Then, the microencapsulation methods for phase change materials are presented. Next, the critical thermophysical properties of phase change microcapsules relevant to oilfield applications, including melting and freezing points, latent heat capacity, thermal conductivity, and cycling stability, are discussed. Subsequently, the specific applications of phase change microcapsules in oilfields, including temperature regulation of drilling fluid, thermal management of cement paste, thermal protection of drilling equipment, and thermal insulation of submarine oil and gas pipelines, are thoroughly overviewed. Finally, the critical challenges and future perspectives are outlined. This review highlights the critical role of phase change microcapsules in advancing thermal management solutions for the efficient development of oil and gas from high- and low-temperature reservoirs, guiding future research and development efforts.