This study delves into the role of phase change materials (PCMs) in bolstering energy efficiency, particularly in response to escalating global energy consumption in construction. The research focuses on integrating recycled expanded glass (REG) as a support material for shape-stabilized PCMs, specifically emphasizing n-octadecane (nOD) in cement mortars. With nOD exhibiting a melting point around 27 °C and a high latent heat thermal energy storage (TES) capacity of 241 J/g, various analyses, including DSC, FT-IR, SEM, TGA, and thermoregulation tests, assess the impact of different nOD/REG concentrations on TES properties. Alterations in physico-mechanical properties of mortar mixtures are noted with increasing REG/nOD content, impacting porosity and water absorption. The incorporation of REG/nOD PCMs decreases thermal conductivity, from 0.3620 W/mK (no PCM) to 0.1494 W/mK (full replacement). Thermo-regulation tests highlight PCM’s ability to counteract temperature fluctuations, surpassing results from other studies. Temperature difference outcomes (−10.60 °C daytime cooling, 4.00 °C nighttime heating) establish REG/nOD as promising for sustainable construction. The research evaluates PCM-infused concrete’s impact on building energy efficiency, noting significant heat demand reductions across climates and wall thicknesses. Carbon emissions decrease notably, especially with coal as the fuel source. Customized material thickness in PCM-integrated walls shows potential for substantial energy savings. These findings contribute valuable insights to the viability of REG/nOD composites in mitigating heating and cooling loads, advancing sustainable building solutions.