Display omitted •A new procedure for the preparation of PCM microcapsules was developed.•The synthesis of microcapsules can be applied at semi-industrial scale.•Microcapsules decrease melting and crystallization temperature of HDPE.•Microcapsules decrease the complex viscosity of blends. A modified in situ polymerization microencapsulation procedure for the preparation of microcapsules with paraffin wax cores (43wt.%) and melamine–formaldehyde resin shells having a uniform size distribution and a spherical shape with average diameters of approximately 15μm was developed. The high-density polyethylene/microcapsule blends were prepared via two routes. In the first case, the dry high-density polyethylene powder covered by microcapsules was simply hot pressed, whereas, in the second case, the dry high density polyethylene/capsule powder was first blended in the molten state to obtain better homogeneity before hot pressing. It was observed that both systems behave qualitatively the same with comparable mechanical properties and thermal behavior. The thermal stability of high-density polyethylene/microcapsule blends characterized by thermogravimetry is significantly lower than that of neat high-density polyethylene. The selected characteristic temperatures of degradation decreased by more than 200°C compared with the related temperatures for neat high-density polyethylene. An analysis based on Differential Scanning Calorimetry revealed separated melting and crystallization behavior of wax within the capsules and high density polyethylene in the blends. The enthalpies of melting and crystallization are proportional to the amount of individual components in the material. The capsules have a strong plasticizing effect on the high density polyethylene, resulting in a significant decrease in the melting and crystallization temperatures. The plasticizing effect was also confirmed by measurements of the tensile mechanical properties and rheological behavior.