The flame-retardant micro-encapsulated sepiolite (MSEP) was successfully prepared by sol-gel method. Fourier transform infrared, X-ray photoelectron spectroscopy, scanning electron microscopy, and energy dispersive spectroscopy were utilized to prove that sepiolite was encapsulated. Then, the mechanical properties, flame retardance, smoke suppression, and pyrolysis characteristics of silicone rubber foam (SiFs) with MSEP and zinc borate (ZB) were analyzed. The results indicated that the tensile and compressive properties of SiFs could evidently improve with the incorporation of MSEP/ZB. SiFs with 3 wt% MSEP and 6 wt% ZB could achieve an limiting oxygen index value of 30.9 vol% and UL-94 V-0 rating, the time to ignition was 64.7% above that of pure SiFs, the peak heat release rate and total heat release were 42.7% and 25.0% lower than that of pure SiFs, respectively. Furthermore, the peak smoke production rate and total smoke production of SiFs with 3 wt% MSEP and 6 wt% ZB were merely 54.22% and 64.10% of pure SiFs. Especially, the thermal stability of SiFs was significantly enhanced, and the carbon residue of SiFs became denser and more complete after adding 3 wt% MSEP and 6 wt% ZB.