Microencapsulated phase change material slurries (MEPCMSs) offer a potentially efficient and flexible solution for cryogenic-temperature cold storage. In this paper, the phase change material (PCM) microcapsules prepared to form MEPCMSs for cryogenic-temperature cold storage consist of Dowtherm J (DJ) as core material and melamine formaldehyde (MF) as primary shell material. DJ is an aromatic mixture with diethylbenzene as the main component. Composite shell materials are adopted to avoid cracking by adding aluminium oxide (Al₂O₃) nanoparticles or copper (Cu) coating into/on MF shell. In order to explore the heat transfer behaviour and mechanical stability of the microcapsules during the solidification process of PCM, a thermo-mechanical model is established by taking into account of energy conservation, pressure-dependent solid-liquid equilibria, Lamé’s equations and buckling theory. Based on the proposed model, the effects of shell thickness, shell compositions and microcapsule size are therefore studied on the variations of pressure difference, freezing point, and latent heat. The cause of shell deformation is clearly explained and the shell buckling modes are predicted using the model, which agree well with the experimental observations. The critical core/shell size ratios of avoiding buckling are proposed for the microcapsules with different compositions. Simultaneously incorporation of Al₂O₃ nanoparticles and Cu coating into/on MF shell can markedly enhance the resistant to buckling. In addition, special attention is paid to cold energy storage capacity of MEPCMSs, which has considerable superiority compared to packed pebble beds.