Microcapsules with regulated transmembrane transport are of great importance for various applications. The membranes with a tunable cut‐off threshold of permeation provide advanced functionality. Here, thermo‐responsive microcapsules are designed, whose hydrogel membrane shows a tunable cut‐off threshold of permeation with temperature. To produce the microcapsules, water‐in‐oil‐in‐water (W/O/W) double‐emulsion droplets are microfluidically produced, whose oil shell contains oil‐soluble hydrogel precursor of poly(N, N‐diethylacrylamide) copolymerized with benzophenone (PDEAM‐BP). The PDEAM hydrogels, crosslinked by BP, show volume‐phase transition around 34 °C, which makes the microcapsules with the PDEAM hydrogel membrane thermo‐responsive. The microcapsules show temperature‐dependent changes in radius and membrane thickness. More importantly, the cut‐off threshold of permeation can be reversibly adjusted by temperature control as the degree of swelling decreases with temperature. This enables the molecule‐selective encapsulation and the controlled release of the encapsulants in a programmed manner by adjusting the temperature. The microcapsules can be rendered to be photo‐responsive by encapsulating photothermal polydopamine nanoparticles during the microfluidic operation, which allows the control of the degree of swelling with near‐infrared (NIR) irradiation. The thermo‐ and photo‐responsive microcapsules with a tunable cut‐off threshold are appealing as a new platform for drug carriers, microreactors, and microsensors.