Buildings contribute to 40% of total global energy consumption, which is responsible to 38% of greenhouse gas emissions. It is critical to enhance the energy efficiency of buildings to mitigate global warming. In the last decade, advances in thermal energy storage (TES) techniques using phase change material (PCM) have gained much attention among researchers, mainly to reduce energy consumption and to promote the use of renewable energy sources such as solar energy. PCM technology is one of the most promising technologies available for the development of high performance and energy-efficient buildings and, therefore, considered as one of the most effective and on-going fields of research. The main limitation of PCM is its leakage problem which limits its potential use in building construction and other applications such as TES and textiles, which can be overcome by employing nano-/micro-encapsulation technologies. This paper comprehensively overviews the nano-/micro-encapsulation technologies, which are mainly classified into three categories including physical, physiochemical and chemical methods, and the properties of microcapsules prepared. Among all encapsulation technologies available, the chemical method is commonly used since it offers the best technological approach in terms of encapsulation efficiency and better structural integrity of core material. There is a need to develop a method for the synthesis of nano-encapsulated PCMs to achieve enhanced structural stability and better fracture resistance and, thus, longer service life. The accumulated database of properties/performance of PCMs and synthesised nano-/micro-capsules from various techniques presented in the paper should serve as the most useful information for the production of nano-/micro-capsules with desirable characteristics for building construction application and further innovation of PCM technology.