Phase change materials (PCM) have been incorporated with cementitious construction materials to store thermal energy and control interior climate in buildings, which can reduce the energy consumption and improve thermal comfort. However, addition of PCM is found to decrease strength and thermal conductivity of the cement-based composite. Carbon nanotubes (CNT) are integrated into cementitious construction materials with microencapsulated PCM to improve their thermal-conductive and mechanical performances. Results of lab and outdoor tests show the modified cement mortar containing both PCM and CNT exhibits better heat insulation properties than plain cement mortar. A temperature difference up to 6.8 °C was observed between interiors of two same size scale-down building models (one made of plain cement mortar, the other one made of cement mortar with PCM and CNT). This indicates that the modified cement mortar can effectively enhance the thermal storage property of cement-based building materials.