The development of gypsum-based construction materials with energy storage and thermal insulation functions is crucial for regulating indoor temperatures, reducing building energy consumption, and mitigating CO2 emissions. In this study, graphene and expanded vermiculite (EV) were used as paraffin carriers to prepare a novel dual-carrier composite energy storage material called P/G-EV, which was developed through ultrasound, a constant-temperature water bath, and vacuum adsorption. In addition, a novel energy storage–thermal insulation integrated–gypsum (ESTIIG) composite material was developed using P/G-EV as the energy storage layer (ESL) and EV as the thermal insulation layer (TIL) compounded with phosphorus building gypsum. The thermal properties, mechanics, apparent density, temperature control performance in a real environment and environmental impact of ESTIIG were evaluated, and the temperature control mechanism was analyzed. The results reveal superior thermal stability and thermal conductivity of the P/G-EV carrier.P/G-EV overcomes the low thermal conductivity and leakage problems associated with paraffin, exhibiting a phase change temperature and latent heat of 21.7 °C and 101 J/g, respectively, during the heat absorption stage. In ESTIIG, P/G-EV and EV are compounded with phosphorus building gypsum to form an ESL and a TIL. The overall mechanical performance of ESTIIG meets the requirements of construction applications. Among the variants of ESTIIG, ESTIIG-1, with an ESL/TIL thickness ratio of 3:1, exhibits the best real-world temperature control performance and environmental benefits, providing a more stable and comfortable indoor temperature. Furthermore, this study provides data and theoretical references for the design of ESTIIG through real-world temperature control monitoring and analysis of the temperature control mechanism.