This work focuses on flexible epoxy (EP) composites containing various amounts of neat and polydopamine (PDA)-coated paraffin microcapsules as a phase change material (PCM), which have potential applications as adhesives or flexible interfaces with thermal management capability for electronics or other high-value-added fields. After PDA modification, the surface of PDA-coated capsules (MC-PDA) becomes rough with a globular appearance, and the PDA layer enhances the adhesion with the surrounding epoxy matrix, as shown by scanning electron microscopy. PDA deposition parameters have been successfully tuned to obtain a PDA layer with a thickness of 53 ± 8 nm, and the total PDA mass in MC-PDA is only 2.2 wt %, considerably lower than previous results. This accounts for the fact that the phase change enthalpy of MC-PDA is only marginally lower than that of neat microcapsules (MC), being 221.1 J/g and 227.7 J/g, respectively. Differential scanning calorimetry shows that the phase change enthalpy of the prepared composites increases with the capsule content (up to 87.8 J/g) and that the enthalpy of the composites containing MC-PDA is comparable to that of the composites with MC. Dynamic mechanical analysis evidences a decreasing step in the storage modulus of all composites at the glass transition of the EP phase, but no additional signals are detected at the PCM melting. PCM addition positively contributes to the storage modulus both at room temperature and above Tg of the EP phase, and this effect is more evident for composites containing MC-PDA. As the capsule content increases, the mechanical properties of the host EP matrix also increase in terms of elastic modulus (up to +195%), tensile strength (up to +42%), Shore D hardness (up to +36%), and creep compliance (down to −54% at 60 min). These effects are more evident for composites containing MC-PDA due to the enhanced interfacial adhesion.