SiO2 encapsulated SnZnCu microspheres (several micrometers to about 30 μm in diameter) with very low undercooling, narrow freezing/melting range, and high thermal cycling stability have been produced and used as the temperature stabilizer of the packed bed in highly exothermic Fischer–Tropsch reaction. The core–shell structured SnZnCu@SiO2 microspheres are prepared in a two-step way, namely SnZnCu microspheres are firstly produced via a molten LiCl–KCl–CsCl eutectic-based metal emulsion method, and then a sol–gel approach is employed to coat them with a uniform, anti-leakage SiO2 layer. It is found that raising the amount of Zn to 4.0 at.% is critical for achieving a very low undercooling (<5 °C for SnZn0.04Cux@SiO2 vs. about 84 °C for Sn@SiO2) and a narrow freezing/melting peak width, and both undercooling and peak width are almost unchanged as the Cu content (x) increases from 1.5 to 3.0 at.%. However, their thermal cycling stability depends positively on the amount of Cu and can be remarkably improved when 3.0 at.% Cu is added. The results also show that low undercooling and narrow freezing/melting peak width are associated with the formation of Sn–Zn–Cu ternary eutectic and metastable phase Cu5Zn8, and poor thermal cycling stability of SnZn0.04Cux@SiO2 microspheres with low Cu content is related to the decomposition of Cu5Zn8 during thermal cycling. By embedding thermally stable SnZn0.04Cu0.03@SiO2 microspheres into the Co/SiO2 catalyst for Fischer–Tropsch synthesis, the temperature gradient in the catalyst bed can be significantly reduced by suppressing the formation of hot spots or thermal runaway and thus rapid deactivation of Co catalyst that occurs in the SnZn0.04Cux@SiO2-absent Co/SiO2 catalyst can be avoided.