Microencapsulated Phase Change Materials (MPCM) are widely used in active and passive systems for thermal energy storage. To evaluate the strength of a proper shell/PCM system, comparisons were performed between laboratory-prepared MPCM samples produced by in situ polymerization with a phase change temperature of 50 °C and a particle size of around 1–2 μm with tetracosane as PCM, and polystyrene (PS) and poly (methyl methacrylate) (PMMA) as shells. Evaluation of mechanical performance was performed for different samples by means of Atomic Force Microscopy (AFM) at different temperatures (23 °C and 60 °C) and with different encapsulation ratios (1:3 and 1:1, shell:core) in order to compare their properties with the PCM below and above its phase change. Evaluations of the Effective Young’s modulus (E) and deformation properties were performed for both types of MPCM. For an encapsulation mass ratio of 1:3, PS has better mechanical properties because, when increasing the temperature, the E decreases less than with PMMA. In the comparison between PS/tetracosane systems with different encapsulation mass ratios (1:3 and 1:1), E values were higher for the 1:3 encapsulation mass ratio at both temperatures under study. This means that, in terms of mechanical and thermal properties, the best combination core/shell/encapsulation mass ratio is PS/tetracosane/1:3.