Energy consumption stands out as one of the factors responsible for the emission of greenhouse gases, through the use of non-renewable energy sources, generating serious impacts on the environment. Due to this reality, the issue of energy efficiency has gained ground, especially when it is related to civil construction. Thus, the application of insulating materials in constructions has been an intelligent strategy, which enables energy efficiency, reducing energy consumption. Phase Change Materials (PCM) promote the delay of heat propagation and thermal damping, which results in increased thermal comfort. Therefore, the incorporation of encapsulated PCM in a cement matrix has proven to be an efficient means. Thus, the theme of this work will be the review of the application of PCM in cement matrix, since the objective of this article is to discuss its potential incorporation, through a bibliographic review, considering its classification, form, application and potential difficulties for such incorporation.