Phase change material nanocapsules with n-dodecanol as the core and styrene-butyl acrylate copolymer as the shell were prepared by miniemulsion polymerization using interfacial redox initiation. The morphology, particle size, polydispersity index, thermal properties, and structure of the nanocapsules were characterized by TEM, laser particle diameter analyzer, DSC, TGA, and FT-IR. When the monomers/n-dodecanol mass ratio of 1:1 was used, the phase change enthalpy and encapsulation efficiency of the nanocapsules reached to 109.2 J/g and 98.4%, respectively. The thermal decomposition temperature of the nanocapsules was about 195 °C. Spherical nanocapsules with a mean diameter of 100 nm and a phase change temperature of 18.4 °C were obtained, which have good energy storage potential.