A heat transfer fluid with hetero-nanocapsules. The heat transfer fluid comprises a fluid and a plurality of hetero-nanocapsules, uniformly dispersed in the fluid, in an amount of 0.01 to 10 parts by weight, based on 100 parts by weight of the heat transfer fluid. Since the hetero-nanocapsules are apt to disperse in fluid and have superior thermal conductivity, the heat conduction capability of the heat transfer fluid therewith is enhanced.