Phase change materials (PCMs) provide passive storage of thermal energy in buildings to flatten heating and cooling load profiles and minimize peak energy demands. After microencapsulated into a protective shell, they can be directly added to cementitious materials to add thermal energy storage capacity to the material. However, existing studies show that the strength of the produced materials can be drastically reduced by the added PCM microcapsules. To overcome this drawback, this study develops a novel PCM microcapsule using the cenosphere as the protective shell, together with a bio-inspired dopamine coating. As hollow fly ash particles, cenosphere shells are much harder and stronger than commonly used polymer based protective shells. While the strong binding ability of dopamine to diverse surfaces through covalent and non-covalent interactions provides better bonding between the PCM microcapsule and the surrounding cement paste. For these reasons, the strength of the produced cement mortar can be greatly improved by this microcapsule. An experimental study shows that a 35% increase in compressive strength has been achieved by adding 10 wt% of the new PCM microcapsule into the cement mortar. Microstructure examination and hydration products analysis revealed that the dopamine coating facilitates the hydration of the cement and produces a denser and stronger interface between the microcapsule and the cement paste. As a result, a novel PCM microcapsule is developed which not only integrates latent heat storage capacity to the cement mortar but also enhance the compressive strength of the mortar, which cannot be achieved by any other PCM microcapsules.