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Nanoencapsulated phase change materials (nePCMs) are nowadays under research for thermal energy storage purposes. NePCMs are composed of a phase change core surrounded by a shell that confines the core when molten. One of the main concerns of nePCMs when subjected to thermal processes is the mechanical failure of the passivation shell initially present in commercial metallic nanoparticles. In order to overcome this issue, multi-coated nePCMs, based on the synthesis of an additional coating by atomic layer deposition, appear to be as a candidate solution. With the objective of studying the influence of the composition and thickness of the additional nePCM shells on their probability of failure, a numerical tool combining a thermomechanical finite element model with phase change and Monte Carlo algorithms is developed. This tool also allows including the uncertainty of material and geometrical properties into the numerical analysis to account for their influence in the mechanical performance of nePCMs. In the present work, the mechanical reliability of SiO2 and Al2O3 coatings on Sn@SnOx nanoparticles is assessed by considering both deterministic and probabilistic failure criteria and Al2O3 coatings appear to have a better mechanical performance than their SiO2 counterparts.