Erythritol‐based nanocapsules with a phase‐change temperature of 120 °C are successfully prepared under very mild conditions. The nanocapsules are produced via multiple crystallization precipitations from a saturated erythritol aqueous solution, followed by SiO2 coating using a sol–gel method. Their nanostructure and elemental composition are characterized using scanning electron microscopy and energy‐dispersive X‐ray spectroscopy. The latent heat of the nanocapsules is measured with a differential scanning calorimeter. The erythritol nanocapsules, with an average size of ≈220 nm, exhibit a melting enthalpy of 192.7 J g−1. Notably, the supercooling degree of the nanocapsules is reduced by ≈30.0 °C compared to pure erythritol. After 200 thermal cycles, the heat storage performance of the nanocapsules shows only a 7.6% decrease. A latent heat functional thermal fluid, suitable for high‐temperature heat transfer, is prepared by dispersing the nanocapsules in silicone oil. The thermal conductivity and specific heat capacity of this fluid increase by 20.5% and 283.3%, respectively, compared to pure silicone oil. These findings demonstrate that erythritol nanocapsules significantly enhance the thermal properties of high‐temperature heat transfer fluids, highlighting their potential for high‐temperature heat storage and transfer application.