In order to maintain the optimal operating temperature of the battery surface and meet the demand for thermal storage technology, battery thermal management system based on phase change materials has attracted increasing interest. In this work, a kind of core-shell structured microcapsule was synthesized by an in-situ polymerization, where paraffin was used as the core, while methanol was applied to modify the melamine-formaldehyde shell to reduce toxicity and improve thermal stability. Moreover, three different types of heat conductive fillers with the same content of 10 wt.%, i.e., nano-Al2O3, nano-ZnO and carbon nanotubes were added, generating composites. The microcapsules were uniform, and were not affected by the thermal fillers, which were evenly dispersed around. The composite sample with carbon nanotubes (10 wt.%) showed the highest thermal conductivity of 0.50 W/(m K) and latent heat of 139.64 J/g. Furthermore, according to the leakage testing and battery charge/discharge experiments, compared with Al2O3 and ZnO, the addition of carbon nanotubes remarkably enhances the heat storage ability as latent heat from 126.98 J/g for the prepared sample with Al2O3 and 125.86 J/g for the one with ZnO, then to 139.64 J/g, as well as dissipation performance as a cooling effect by decreasing the surface temperature of battery from 2% to 12% of microcapsule, composite sample with carbon nanotubes presents a broad application prospect in battery thermal management system and energy storage field.