This study presents an approach to produce multifunctional ultra-lightweight engineered cementitious composites (ULW-ECCs) spanning an air-dried density ranging from 1398 to 572 kg/m³ utilizing air-entraining agents (AEA) and fly ash cenospheres. The multifunctional ULW-ECCs combine exceptional mechanical properties with enhanced thermal insulation, self-sensing and self-healing functions. Variation of the AEA content results in compressive strengths ranging from 65.92 to 2.82 MPa, tensile strengths from 5.75 to 0.84 MPa, tensile strain capacities of 6.67 %–2.92 %, and flexural strengths of 14.41 to 3.64 MPa. Thermal insulation properties, including conductivity (20 °C: 0.73–0.20 W/(mK); 800 °C: 0.289–0.065 W/(mK)) across different temperatures, effusivity and volumetric heat capacity, were systematically tested. The small-scale thermal insulation test confirms the outstanding performance of ULW-ECCs in thermal insulation. Furthermore, ULW-ECC exhibits excellent self-sensing ability under tension and bending. Resonant frequency and impedance testing results affirm the self-healing ability. Microstructural analysis using an optical microscope, scanning electronic microscope (SEM), and mercury intrusion porosimeter (MIP) reveals that high-speed mixing, cenospheres, AEA and long polyethylene fibres are crucial for achieving porous structures, low-density and multifunctionality. This novel ULW-ECC holds promising applications in structural retrofitting, enhancing energy efficiency, thermal insulation, fire resistance and enabling simultaneous structural health monitoring.