Thermoresponsive hydrogel microcapsules have received considerable attention as controlled release systems due to their tunable molecular permeability. However, conventional microcapsules based on swelling/deswelling transition often suffer from poor mechanical properties as well as limited range of molecular cut‐off tunability, restricting their practical use. In this work, thermal phase separation in hydrogel microcapsules is introduced to achieve mechanical toughening as well as broad range of control over molecular permeability. By using poly(acrylic acid) (PAAc) hydrogels ionically crosslinked with calcium/acetate ions as the microcapsule shell, a polymer dense state can be induced upon heating above the transition temperature. Compression tests and dye permeation studies demonstrate a significant increase in modulus as well as substantial reduction in molecular cut‐off threshold upon phase separation. Moreover, it is demonstrated that the release profile of the encapsulated substances can be programmed by adjusting the duration of thermal exposure, which governs the recovery kinetics of the hydrogel network. The showcased phase separation‐induced strategy enables unprecedented control of the molecular permeability and significant enhancement in mechanical properties of the hydrogel microcapsules, offering a new avenue in the design of advanced stimuli‐responsive microcapsules.