The high environmental impact generated by using of Ordinary Portland Cement (OPC) has lead to the search for alternative materials in the field of civil and building engineering. In addition, there is a tendency to develop cements from industrial by-products, thus reducing pollution and emissions generated by their production. One of the best positioned cements to compete with OPC is Magnesium Phosphate Cement (MPC). The present work studies different dosages of MPC mortars formulated with low-grade MgO by-product (sustainable MPC) incorporating Microencapsulated Phase Change Materials (MPCM) and air entraining additive (AEA) as admixtures (Thermal Sustainable MPC) to improve the thermal behaviour of the material. The aim is developed a new eco-friendly material that leads to reducing energy consumption in buildings. The study is focused on the physical, thermal, and mechanical characterization of TS-MPC mortars to assess their potential use as a thermal prefabricated panel. The results allow to relate the amount of the MPCM and the additive percentage with the thermal and mechanical properties of the TS- MPC. Furthermore, is important to highlight the influence of MPCM not only in the thermal behaviour but also on the increase of the porosity. The experimental results show that the addition of both additives contributes substantially to the improvement of the thermal behaviour of the mortars and converts them on a suitable material to reduce thermal oscillations in buildings.