With the fast development of the cold chain transportation industry, the traditional refrigeration method results in significant energy consumption. To address the national call for energy saving and emission reduction, the search for a new type of energy storage material has already become a future development trend. According to the national standard GB/T28577 for the classification and basic requirements of cold chain logistics, the temperature in frozen logistics is typically below −18 °C. In this study, n-undecane with a phase change temperature of −26 °C is chosen as the core material of microcapsules. Poly(methyl methacrylate) is applied as the shell material, with n-undecane microcapsules being prepared through suspension polymerization for phase change cold storage materials (MEPCM). Using characterization techniques including SEM, DSC, FTIR, and laser particle size analysis, the effects of three types of emulsifiers (SMA, Tween-80, Tween-80/span-80 (70/30)), SMA emulsifier dosage, core–shell ratio, and emulsification rate on the thermal performance and micro-surface morphology of n-undecane/PMMA microcapsules were studied. The results indicate that when comparing SMA, Tween-80, and Tween-80/span-80 (70/30) as emulsifiers, the dodecane/PMMA microcapsules prepared with SMA emulsifier exhibit superior thermal performance and micro-surface morphology, possessing a complete core–shell structure. The optimal microstructure and the highest enthalpy of phase change, measuring 120.3 kJ/kg, are achieved when SMA is used as the emulsifier with a quantity of 7%, a core-to-wall ratio of 2.5:1, and an emulsification speed of 2000 rpm. After 200 hot and cold cycles, the enthalpy of phase change decreased by only 18.6 kJ/kg, indicating the MEPCM thermal performance and cycle life. In addition, these optimized microcapsules exhibit favorable microstructure, uniform particle size, and efficient energy storage, making them an excellent choice for the refrigeration and freezing sectors.