Waste heat and organic contaminants are significant issues in water pollution, which has caused ecological problems and threatened human health. To provide an effective solution for wastewater recovery, we designed a novel type of multifunctional phase-change microcapsule. This type of microcapsule was synthesized using n-docosane as a core and a SiO2/Fe3O4 composite as a base shell through in situ interfacial polycondensation with the assistance of a Fe3O4 nanoparticle as a Pickering emulsion stabilizer, followed by the deposition of BiOI nanosheets on the surface of the SiO2/Fe3O4 composite shell. Benefiting from the n-docosane core, the resultant microcapsules obtained phase-change enthalpies of 46.8–115.7 J/g for absorbing waste heat from wastewater. The deposited BiOI nanosheets promoted photocatalysis for the microcapsules to degrade organic contaminants in wastewater. Owing to the magnetic response of the Fe3O4 nanoparticles, the separability and recyclability of the microcapsules were improved significantly by magnetic separation. Moreover, the microcapsules demonstrate outstanding phase-change reversibility, thermal cycling stability, and shape stability due to the tight SiO2/Fe3O4 composite shell. This study provides a promising approach for designing and developing multifunctional phase-change microcapsules for waste heat recovery and wastewater treatment.