Ultra-lightweight foamed cement (ULFC) exhibits super-high porosity and excellent thermal-insulation capabilities. However, the thermodynamic instability and high water-absorptivity of ULFC with high-volume fly ash have restricted its large-scale application. Superhydrophobic technology can significantly improve the substrates’ hydrophobicity, among which the nanocoating is a popular option but the water-repellent layer may be easily destroyed due to the mechanical damage. Therefore, the intrinsic superhydrophobization becomes a promising alternative to the coating scheme. Here, the internal superhydrophobic ULFC was formulated through introducing the ultrasonic-assisted siloxane-encapsulated Pickering emulsions, in which two Pickering structures containing n-dodecyltrimethoxysilane were stabilized by hydrophobic SiO2 and C–S–H nanoparticles, respectively. Compared with the SiO2 nanoparticles-stabilized dispersion, the droplets of C–S–H nanoparticles-stabilized Pickering emulsion were more stable and controlled-release in cement hydration environment. As such, the incorporation of the latter showed no negative impact on the setting times and static yield stress of the interstitial matrix, optimizing the homogeneity, mechanical strength and heat conductivity of ULFC. The combination of nanoscale foam stabilizer and Pickering emulsions could form the hierarchical waterproof structure with low surface free energy at the gas-solid interfaces, and the multiscale siloxane-grafted intertwined hydration products were responsible for the inner superhydrophobicity of ULFC. Therefore, under the water vapor-saturated environment, the water absorption of superhydrophobic samples showed only a slight increase as a function of time and the ULFC was still hydrophobic with a reduction of apparent water contact angle from 154.6° to 137.8°. From energy consumption analysis, the all-dimensional superhydrophobic ULFC had a potential application in heat-insulation building.