The concept of self-healing materials and the development of encapsulated curing agents represent a cutting-edge approach to enhancing the longevity and reducing the maintenance costs of cementitious structures. This systematic literature review aims to shed light on the parameters involved in the autonomous self-healing of cementitious materials, utilizing various encapsulated healing agents such as pellets, granules, and capsules. This review also identifies and selects studies that offer additional insights into the efficacy of the self-healing process in cementitious materials and the influence of these specific encapsulated healing agents on the physical mechanical properties of mortars. This comprehensive approach provides a deep understanding of the interplay between self-healing and the physical–mechanical properties of mortars containing these encapsulated healing agents. The main findings indicate that the cement-to-sand ratio, characteristics of fine aggregates, and encapsulation methods significantly impact crack control, self-healing efficiency, and properties of mortar in both fresh and hardened states. The content of encapsulated healing agents within the cementitious matrix affects both the initial workability or flow and subsequent mechanical properties. While pellets coated with PVA film typically reduce workability in the fresh state and compressive strength, capsules coated with Portland cement and sodium silicate mitigate these effects and improve crack sealing in fresh and hardened states without compromising the self-healing capacity of cracks. The three-point flexural test has emerged as the preferred method for a pre-crack assessment over 28 days, with variations depending on the type of healing agent used. As noted in the literature, water has been identified as the optimal environment for autonomous healing. These findings underscore the potential of encapsulation techniques to enhance self-healing capabilities through the controlled release of agents within the cementitious matrix, thereby advancing the research on and development of intelligent construction materials and increasing the durability of cement-based structures.