This article explores the concept of generating a porous anodic layer on the surface of a metallic component to host a phase change material (PCM) aiming to reduce the peak temperatures that the host structure will experience. The conditions to fabricate a porous anodic layer on top of an aluminum substrate were determined through varying anodization conditions: solution concentration, voltage employed, and anodization times. Pore sizes were characterized using scanning electron microscopy. The alkane n-eicosane was selected as PCM, introduced within the porous anodic annealed layer using vacuum impregnation and the thin film composite structure sealed. Epoxy resin and a metallic paste were tested as sealants. Thermal tests were performed to compare the behavior of aluminum alloy substrates anodized and sealed with and without PCM. The results showed pores with diameters in the 5–85 nm range, with average values that increased as the time of anodization was extended. The aluminum alloy impregnated with n-eicosane presents lowered surface peak temperatures during heating cycles than the samples that were only anodized or than the base alloy, demonstrating the potential of PCM incorporated in the superficial microstructure of anodic structures to manage, to a certain extent, peak transient thermal loads.