Thermal energy storage has many important applications and is most efficiently achieved by latent heat storage using phase change materials (PCMs). Salt hydrates have advantages such as high energy storage density, high latent heat and incombustibility. However, they suffer from drawbacks such as incongruent melting and corrosion of metallic container materials. By encapsulating them in a polymer shell, problems can be eliminated. Here we demonstrate a simple method to nanoencapsulate magnesium nitrate hexahydrate, employing in situ miniemulsion polymerisation with ethyl-2-cyanoacrylate as the monomer. Using sonication to prepare miniemulsions improved the synthesis by reducing the amount of surfactant required as the stabiliser. The thermal properties were analysed by differential scanning calorimetry (DSC) and thermogravimetric analysis (TGA). Fourier transform infrared spectroscopy (FTIR) was employed to prove the presence of salt hydrate within the nanocapsules. The results show that the capsules are 100–200 nm in size, have salt hydrate located in the core and are stable over at least 100 thermal cycles with only a 3% reduction in latent heat. Supercooling is also drastically reduced. To the best of our knowledge, this is the first time that an encapsulated salt hydrate PCM has been proven to have a lifetime of 100+ heat uptake/release cycles.