A novel kind of nanoencapsulated phase change materials containing n-octadecane and n-butyl stearate as binary cores and functionalized graphene oxide modified poly(methyl methacrylate) as hybrid shells (FGO/PMMA-NanoPCMs) with superior thermal storage capability was successfully prepared by surfactant-free emulsion polymerization with reactive emulsifiers. The morphology, structure and thermal stability of graphene oxide (GO) and functionalized graphene oxide (FGO) were characterized by SEM, FT-IR, XRD and TGA. The results showed that GO was successfully modified by methacryloxy trimethoxyl silane (KH-570) into the reduced hydrophilic FGO. Furthermore, the morphology, particle size, chemical structure and thermal properties of PMMA-NanoPCMs and FGO/PMMA-NanoPCMs were also measured by TEM, FT-IR, XRD, DSC and TGA. The results indicated that FGO/PMMA-NanoPCMs exhibited a regular spherical profile with diameter around 100 nm and a well-defined core-shell structure. Moreover, the loading of FGO on PMMA-NanoPCMs effectively improved the thermal conductivity, latent enthalpy and thermal stability of nanocapsules. More importantly, in comparison with PMMA-NanoPCMs, FGO/PMMA-NanoPCMs had more significant thermal storage and temperature regulation performance when applied to cotton fabrics. It can be considered that the resultant FGO/PMMA-NanoPCMs will have a high feasibility and a great promise in the application of intelligent thermoregulation fabric.