Phase change material (PCM) is the latent heat storage system that can store heat approximately isothermally within a very narrow temperature range. N-eicosane and parafin possess phase change temperature in the range of human comfort with outstanding energy storage density, thus they are very popular for applications involving temperature regulation for human comfort such as building materials, thermoregulated fabrics and furniture. Here we demonstrated the use of a novel microencapsulation process to encapsulate n-eicosane (C20) and paraffin into the blend of ethylcellulose (EC) and methylcellulose (MC) to solve the problems on leakage during the melted state, incompatible with polar materials and chemical instability of the the two PCMs. Both PCMs could be encapsulated into the EC/MC shell and the obtained microspheres showed good water dispersibility and good latent heat storage capacity. Very interstingly, N-eicosane microspheres showed increased heat storage capacity comparing to the unencapsulated N-eicosane. Blending of the water dispersible n-eicosane microspheres into natural rubber latex showed excellent compatibility, and the obtained rubber showed not only obvious thermo-regulation property but also improved mechanical property.