High supercooling and single functionalization are the main barriers to the large-scale application of microencapsulated phase-change materials (PCMs) in the construction industry. To address these issues, we propose a new inorganic microencapsulated PCM, PW@CaWO 4 , which was synthesized via the in situ polymerization method using inorganic CaWO 4 as shell and phase-change paraffin wax (PW) as core. We investigated the effects of different emulsifiers and core-to-shell ratios on microcapsule properties and found that the PW@CaWO 4 microcapsules have regular spherical topography and good uniformity in particle size. During the synthesis process, the CaWO 4 shell provides convenient conditions for heterogeneous nucleation of PW and effectively reduces the supercooling degree. The minimum supercooling degree of the PW@CaWO 4 microcapsules is only 1.00 ± 0.08 °C, which is 3.41 °C lower than that of PW. Moreover, the PW@CaWO 4 microcapsules can absorb ultraviolet radiation and exhibit fluorescence, which originates from the peculiar WO 4 2− structure in the CaWO 4 shell, eliminating the need for doping other light-activating ions into the shell. The newly prepared microcapsules possess several advantages, including suitable particle size, low supercooling, good heat storage, high thermal conductivity, good short-wave ultraviolet absorption, peculiar fluorescence, excellent proof of leakage, and so on. The microcapsules can be applied to fluorescent architectural energy-saving coatings.