In recent years, substantial progress has been achieved in the development of multifunctional cement-based composites, targeting improved energy efficiency and environmental sustainability while minimizing material depletion. Leveraging the high thermal capacity of these materials facilitates controlled heat storage and release, providing versatile applications in renewable energy management and heat regulation, influencing structural integrity and long-term resistance. Recent research has integrated phase change materials (PCMs) into these composites to harness their superior thermal energy density. This comprehensive review examines the latest experimental research findings on these hybrid materials, emphasizing their thermo-physical behaviour and influence on structural properties and durability. Furthermore, it provides an overview of PCM characteristics and their integration into cement-based matrices. It critically analyses the interaction between PCMs and the cement matrix, explaining effects on structural performance, hydration processes, and freeze–thaw mechanisms. Furthermore, the paper explores recent experimental techniques and protocols for measuring and assessing the structural and thermo-physical properties of these composites. By identifying key trends, the review aims to provide valuable insights into the design and optimization of cement-based composites with PCMs, ultimately enhancing energy efficiency and resource conservation.