Nanoencapsulated phase-change materials (nePCMs) are investigated for enhancing thermal energy storage. However, the shell of these nanocapsules may fail due to stress developed during thermal processes, leading to melting enthalpy loss. To overcome this problem, SiO₂ and Al₂O₃ coatings on Sn nanoparticles are synthesized by atomic layer deposition (ALD). To study the influence of shell thickness and composition on the probability of failure (POF) of nePCM shells in single- and multicoated nePCMs, a probabilistic numerical tool combining Monte Carlo techniques and a thermomechanical finite-element model with phase change are used. The uncertainties of the material and geometrical properties of nePCMs are included in the analysis. Both deterministic and probabilistic failure criteria are taken into account to consider the effect of dispersion on tensile strength. The results indicate that multicoated nePCMs enhance thermomechanical performance in relation to their single-coated counterparts. Both the numerical simulations and experiments confirm that the POF of nePCM shells and melting enthalpy loss in multicoated nePCMs lower with shell thickness. The results after 50 ALD cycles indicate that Al₂O₃ coatings exhibit better performance because a POF of 1.66% is obtained with 1.1% enthalpy loss, while the POF for SiO₂ is 72.38% with 3.5% enthalpy loss.