Functionalization of phase change capsules is recognized as one of the promising technologies to improve energy efficiency and promote their versatile application. Herein, a new magnetic phase change capsule (NiFe 2 O 4 -encapsulated phase change material (EPCM)) composed of paraffin wax core and SiO 2 -NiFe 2 O 4 double-layer shell is designed. The prepared NiFe 2 O 4 -EPCMs possess sensitive magnetic response, excellent thermal management performance, and enhanced thermal stability. In particular, the representative NiFe 2 O 4 -EPCM-4 has the highest saturation magnetization (8.41 emu • g −1 ) and high enthalpy of 131.2 J • g −1 . Subsequently, NiFe 2 O 4 -EPCM-4 is introduced into silicone rubber foam (SRF) matrix and magnetic composite SRFs (MSRFs) are prepared. The latent heat of MSRF-3 containing 30% NiFe 2 O 4 -EPCM-4 can reach 28.9 J g −1 and there is almost no change even after 200 cycles. In comparison with pure SRF, the tensile strength and compressive strength of MSRF-3 are increased by 167.7% and 941.8%, respectively. Importantly, the electromagnetic interference shielding effectiveness of MSRF-3 is significantly improved from 15.9 to 30.6 dB. Besides, the MSR-3 can achieve an intriguing infrared stealth function for targets both in human body temperature and high temperature environment. Therefore, this work might stimulate people's interest and inspiration in the design and preparation of multifunctional phase change capsules.