Phase change materials (PCMs) have attracted increasing attention due to their efficient heat storage capability and small temperature fluctuation. And encapsulation has been recognized as an effective method to solve issues such as corrosion and leakage. For a long time, restricted by thermal expansion, encapsulation of PCMs has remained in the low‐temperature field and liquid‐state coating. In recent years, with the expansion of PCMs encapsulation into the medium and high temperature field and the development of solid‐state coating technology, encapsulation methods that consider thermal expansion have greatly improved the cycle life of encapsulated PCMs and make solid‐state coating of medium and high temperature PCMs possible. Herein, first, this paper summarizes the thermal expansion rates of common core and shell materials, as well as the thermal expansion behavior and stress analysis within confined spaces, proposing the necessity to solve thermal expansion issues. Subsequently, the solution strategies for solving thermal expansion issues in both macrocapsules and microcapsules are introduced. On this basis, the advantages and disadvantages of each strategy have been compared, and the applications of encapsulated PCMs after resolving thermal expansion issues have been introduced. Finally, the current issues, corresponding solutions, and future research directions have been put forward.