Fluid catalytic cracking (FCC) is one of the most important processes in gasoline/diesel oil production, but the strong endothermic effect accompanied by this reaction often results in the deactivation of the catalyst. In this paper, a novel multifunctional phase change material (PCM)@Catalyst composite was designed and constructed, in which the PCM could be used to store waste heat and regulate the temperature for enhancing the catalytic efficiency of the FCC catalyst. Firstly, a core/shell Al-12wt%Si@Al2O3 was prepared via subsequent vapor treatment and high-temperature calcination of an Al-12wt%Si sphere. The Al species in the Al-12wt%Si served as the source of metal ions and was transformed in situ into a well-defined Al2O3 shell, which greatly improved the thermal stability and prevented the leaking of the Al-12wt% Si core in the high-temperature situation. The PCMs@Catalyst composite was then fabricated by casting the mixed powder of Al-12wt%Si@Al2O3 and Y zeolite into a granulated structure. The FCC results demonstrate that Al-12wt%Si@Al2O3/Y zeolite can optimize product distribution and reduce coke yield. This design concept and synthesis strategy can be extended to the production of a wide variety of hierarchical PCM@Catalyst composites for other reactions.