Phase-change material (PCM) has a high potential to cool the drilling fluids for ultra-deep oil/gas wells and geothermal wells to ensure efficient drilling and resource exploitation. Because PCM tends to agglomerate and seriously affect the properties of drilling fluid, it is necessary that the PCM is protected by a shell on its surface. In this study, a novel microencapsulated PCM (with a phase transition temperature of 130.5 °C) with a SiO2 protection shell were obtained by using tetraethyl orthosilicate (TEOS) as silicon source via a sol-gel process. PCM microcapsules with optimal synthesis ratio of 3:4 have excellent warm blood characteristics and smooth shell. The addition of 5 wt% PCM microcapsules for accurate heat trapping and temperature control at 130 °C effectively delays the time of drilling fluid reaching 150 °C by 42.5%, which improves the operability of drilling fluid at high cycle temperature. The results of this study can provide useful insights and information for use of PCM in ultra-deep oil/gas and geothermal wells.