A novel phase change microcapsule with waste edible oil derivatives core shelled by silica was prepared for building energy conservation. The substance composition, phase change parameters, and functional group of the derivatives were characterized. The phase change temperature, phase change enthalpy, and particle size of phase change microcapsules were determined. The effect of microcapsules on foamed concrete was evaluated, including mechanical and thermal properties. The results indicate that the waste edible oil derivatives with a phase change temperature of around 18 °C and a phase change enthalpy of about 140J/g are mainly composed of 73.8% methyl palmitate and 16.2% methyl oleate. The phase change temperature and enthalpy of the microcapsules with a 1:1 shell-to-core ratio are 20 °C and 73J/g, respectively. Additionally, the Dv (50) and Dv (90) of the microcapsules are 139 μm and 380 μm, respectively. Furthermore, the recommended dosage of microcapsules in foamed concrete should not exceed 6.0 wt% considering the mechanical properties of foamed concrete. During the heating process, the temperature of foamed concrete containing 6.0 wt% microcapsules is up to 4.3 °C lower than that of conventional concrete. On the other hand, the cooling rate of foamed concrete containing 6.0 wt% microcapsules is 51.5% lower than that of conventional concrete. This work realizes both building energy conservation and resource utilization of waste edible oil.