The use of construction materials that have the ability to store high energy densities is a promising way to promote energy-efficient practices in buildings. Phase change materials integration within concrete, mortar, brick, plasterboard, glass and wood have been investigated in this chapter. Particularly, various techniques, such as direct integration, immersion, impregnation, encapsulation and shape-stabilization are promising ways to improve building thermal inertia and thermal performances. It was found that certain challenges are associated such as potential leakage of PCM, compatibility with the base material, ensuring uniform distribution of PCM, and maintaining mechanical properties of base material. Achieving a balance between improved thermal performance and structural integrity is a trade-off that is unique to each material and integration method. Successful implementation depends on a thorough understanding of these methods, their advantages and challenges, enabling the creation of building materials that balance energy efficiency with practical functionality.