The development and implementation of processes to store and/or transport thermal energy can be very useful to regulate the temperature of a system and to make a better use of renewable and non-renewable energy resources. It has been shown that some microencapsulated phase change materials (MPCMs) and nanoencapsulated phase change materials (NPCMs) can be used to store and/or transport thermal energy efficiently as latent heat. The composition of these materials has an effect on several properties, like their thermal conductivity, that can affect their performance. Some strategies to modify the composition of these materials developed in the last decade can be useful to improve the characteristics of these materials. A more complex composition can also enable these materials to carry out other functions, besides storing thermal energy, that can improve their performance and extend the range of possible applications of these materials. This work gathers some of these recent developments to emphasize how some of these strategies can be useful to improve the characteristics of these materials and the potential of multifunctional MPCMs and NPCMs in several applications like solar photo-thermal conversion and catalysis.