In this study, phase change material (PCM) was encapsulated in a novel aluminium-based macro-capsule and indirectly applied to cement-based mortar to address leakage issues and enhance thermal management. To further improve the thermal efficiency of the PCM, nanofluid technology was utilized by incorporating multi-walled carbon nanotubes (MWCNTs). Thermophysical property tests were conducted to evaluate the thermal properties and stability of the PCM/MWCNT composite. Additionally, thermal cycling tests of the cementitious composites with macro-encapsulated nano-PCM were performed to verify their thermal performance for thermal energy storage under varying ambient temperatures. The results confirmed that the thermal conductivity of the nano-PCM was more than 100 % greater than that of raw PCM. Furthermore, the high-efficiency thermal energy storage cementitious composite was able to maintain the temperature above 0°C when the ambient temperature was −5°C, demonstrating its superior thermal energy storage performance. This innovative approach highlights the potential of the PCM/MWCNT composite for effective thermal regulation in subzero climates, providing a robust solution for enhancing energy efficiency in challenging environmental conditions.