A double-shell phase change heat storage balls and preparation method thereof is disclosed. The technical scheme is as follows. Paraffin is placed in oven, and organic ignition loss is added to obtain paraffin melt containing the ignition loss; metal balls is immersed in the paraffin melt containing the ignition loss, and cooled naturally to obtain the metal balls coated by ignition loss and paraffin; alumina refractory slurry is placed in a pan granulator, and the metal balls coated by ignition loss and paraffin is added, pelletized, and dried to obtain alumina composite phase change heat storage ball bodies; mullite refractory slurry is placed in a pan granulator, alumina composite phase change heat storage ball bodies is added, pelletized, dried, and placed in a muffle furnace. The temperature is raised to 1200-1600° C. by three systems and maintained. After naturally cooling, the double-shell phase change heat storage balls are prepared.