Magnesium Phosphate Cement (MPC) has become an essential reference for investigators seeking alternatives to the use of Ordinary Portland Cement (OPC) in building sector because of its high environmental impact. The research group developed a MPC formulated with low-grade MgO (LG-MgO) by-product, which could be considered as a sustainable MPC (sust-MPC). This research focuses on the incorporation of different percentages of Microencapsulated Phase Change Materials (MPCM) into sust-MPC, due to their ability to reduce energy consumption of heating, ventilating, and air conditioning (HVAC) systems. The study consists of an exhaustive characterization of thermal sustainable MPC (TS-MPC) dosages which incorporate air-entraining additive (AEA) and MPCM to improve their thermal behaviour. Thus, TS-MPC would reduce the use of HVAC systems contributing to the decrease of CO2 emissions and increasing energy efficiency in buildings. Moreover, properties such as bulk density, porosity, thermal conductivity, modulus of elasticity, compressive strength, and flexural strength are analysed to evaluate the potential use of these cements as a part of a passive conditioning system. Results show the proper behaviour of these cements to reduce thermal oscillation in buildings. Experimental results demonstrated the relation between the amount of the MPCM and the AEA percentage as well as the thermal and mechanical properties of the TS-MPC due to their contribution to increase the porosity. Furthermore, it should be noted the increase of porosity and the reduction of thermal conductivity of the optimal formulation, which are 60% higher and 50% lower than the sust-MPC obtained without MPCM and additive, respectively.