The energy sector is one of the fields of interest for different nations around the world. Due to the current fossil fuel crisis, the scientific community develops new energy-saving experiences to address this concern. Buildings are one of the elements of higher energy consumption, so the generation of knowledge and technological development may offer solutions to this energy demand, which are more than welcome. Phase change materials (PCMs) included in building elements such as wall panels, blocks, panels or coatings, for heating and cooling applications have been shown, when heating, to increase the heat storage capacity by absorbing heat as latent heat. Therefore, the use of latent heat storage systems using phase change materials (PCMs) has been investigated within the last two decades. In the present review, the macro and micro encapsulation methods for construction materials are reviewed, the former being the most viable method of inclusion of PCMs in construction elements. In addition, based on the analysis of the existing papers on the encapsulation process of PCMs, the importance to pay more attention to the bio-based PCMs is shown, since more research is needed to process such PCMs. To determine its thermophysical and mechanical behavior at the micro and macro levels, in order to see the feasibility of substituting petroleum-based PCMs with a more environmentally friendly bio-based one, a section devoted to the excellent PCM with lightweight aggregate (PCM-LWA concrete) is presented due to the lack of description given in other reviews.