In one aspect, a method of extracting heat from a downhole device is disclosed, which method, in one non-limiting embodiment, may include: providing a heat exchange fluid that includes a base fluid and core-shell nanoparticles therein; circulating the heat exchange fluid in the downhole device proximate to a heat-generating element of the downhole to cause the core of the core-shell nanoparticles to melt to extract heat from the downhole device and then enabling the heat exchange fluid to cool down to cause the core of the core shell nanoparticles to solidify for recirculation of the heat exchange fluid proximate to the heat-generating element.