In the present study, a regenerated silk fibroin (RSF) sponge incorporated with the phase change microcapsules were synthesized by facile and effective routes. The microcapsules with the phase change materials (PCMs) core and the RSF wall were prepared by simple coacervation. By altering the synthesis parameters including the emulsifier concentration and the RSF concentration, the microcapsules exhibiting optimized spherical geometry, high encapsulation efficiency, high phase change enthalpies, good thermal cycling performance, and high thermal stability were synthesized. As to the preparation of the microstructurally aligned RSF sponge, a new type of freeze–thaw method was used for the first time, the resultant sponge exhibited high elastic resilience. Subsequently, the combination of microcapsules with the RSF sponge was achieved by a convenient deposition method with the aid of ultrasonic agitation, which showed well maintained porous structure and satisfactory phase change enthalpies of 23.16 and 23.32 J•g−1 corresponding to the heating and cooling process, respectively. Therefore, the PCMs‐incorporated RSF sponge exhibited the capacity to regulate the temperature in order to create a stable “microclimate.” Regarding the exceptional biocompatibility, biodegradability, and super comfort of RSF materials, the RSF‐based sponge can be an ideal candidate for wound dressing applications. © 2019 Wiley Periodicals, Inc. J. Appl. Polym. Sci. 2019, 136, 48173.