In this paper, the preparation of a capsule-shaped cross-linked PEG/LACE copolymer by the cross-linking reaction of polyethylene glycol (PEG) and lauric acid cellulose ester (LACE) in the presence of toluene diisocyanate (TDI) is described. Characterization by FT-IR, NMR, TEM, SEM, DSC, TG, POM and WAXD was conducted on the prepared samples to investigate their structure, phase transition energy storage capability, crystal morphology, and thermal stability. The reaction solution of PEG and LACE was extracted and used for the preparation of a PEG/LACE copolymer film, followed by an analysis of its molding capability. Also, different compositions of core and wall of the capsule were analyzed by measuring the contact angles of the raw materials and the obtained PEG/LACE copolymer. The experimental results revealed that the prepared PEG/LACE copolymer was a capsule-shaped compound in which PEG was encapsulated by long chains of LACE, demonstrating an excellent molding capability. Additionally, this material exhibited a completely reversible phase transition with high enthalpy, moderate temperature and good thermal cycle stability, indicating that it is an ideal solid–solid phase transition material for energy storage.