With the rapid growth of natural gas consumption capacity, the important role of gas storage in seasonal peak shaving and emergency response is gradually emerging. Long-term forced production and injection of gas storage will lead to problems such as wellhead equipment leakage and string seal failure. Replacing the string is not only costly but also takes a long time. Aiming at thread leakage caused by multiple rounds of forced production and injection in gas storage, a Pickering emulsion differential pressure plugging agent with a self-sealing function under a certain pressure difference was developed. We selected carboxyl nitrile latex with a self-polymerization function and modified the nano-stabilizer Fe₃O₄@SiO₂. The Pickering differential pressure plugging agent with excellent plugging performance was prepared by the combination of modified particles and non-ionic emulsifier OP-10. The plugging test was carried out for the simulated oil pipe thread. When the leakage rate was 50 mL/min, no leakage occurred under a pressure of 20 MPa after plugging. The differential pressure plugging agent is expected to achieve plugging without moving the pipe string and rebuild the integrity of the wellbore.