The vaporization characteristics of water-oil emulsion droplets are investigated by high fidelity computational simulations. One of the key objectives is to identify the physical mechanism for the experimentally observed behavior that the component in the dispersed micro-droplets always vaporizes first, for both oil-in-water and water-in-oil emulsion droplets. The mechanism of this phenomenon has not been clearly understood. In this study, an Eulerian-Lagrangian method was implemented with a temperature-dependent surface tension model and a dynamic adaptive mesh refinement in order to effectively capture the thermo-capillary effect of a micro-droplet in an emulsion droplet efficiently. It is found that the temperature difference in an emulsion droplet creates a surface tension gradient along the micro-droplet surface, inducing surface movement. Subsequently, the outer shear flow and internal flow circulation inside the droplet, referred to as the Marangoni convection, are created. The present study confirms that the Marangoni effect can be sufficiently large to drive the micro-droplets to the emulsion droplet surface at higher temperature, for both water-in-oil and oil-and-water emulsion droplets. A further parametric study with different micro-droplet sizes and temperature gradients demonstrates that larger micro-droplets move faster with larger temperature gradient. The oil micro-droplet in oil-in-water emulsion droplets moves faster due to large temperature gradients by smaller thermal conductivity.