A dual-shelled microcapsule with PAO6 core encapsulated by silica and Ppy layers was synthesized via an emulsion-templated sol–gel method combined with in situ chemical oxidative polymerization. The microcapsules had a mean diameter of roughly 30 micrometers and an encapsulation efficiency of 80%. Owing to the hollow architecture of the microcapsules and polarization effects, the microcapsule-paraffin composites achieved a optimal reflection loss reaching −27.8   dB with an effective absorption bandwidth up to 7.4   GHz. Uniform dispersion of microcapsules within the coating matrix resulted in a multifunctional composite coating exhibiting both microwave absorption and rapid self-lubrication response. Self-lubricating coating exhibited a minimal friction factor of approximately 0.05 and negligible wear volume, with nearly instantaneous response during repeated start-stop experiments. The oil-encapsulated dual-shell structure microcapsules demonstrate significant potential in developing multifunctional coatings.