In recent times, the addition of phase change material (PCM) to building construction materials has emerged as a promising research theme. The application of PCM has turned out to be of great interest due to its immensely beneficial effects on the characteristics of building and pavement materials. Utilization of PCM can alter the thermal characteristics of building materials, thus enhancing the overall thermal energy storing capacity. This paper reviews the integration of PCMs with building materials using specific techniques to attain form-stable composites. Various techniques for integrating PCMs are discussed, such as micro-capsule, shape-stabilized PCMs, porous inclusion, and macro-capsule. These techniques have been reviewed in this paper, along with their implementation. Concrete, being the most commonly used resource material in the infrastructure industry, possesses the ability to be transformed into a high-performance heat storing material on blending with PCMs. In particular, when it is blended with paraffin oil and methyl laurate, the formation of ice is decelerated, playing a vital role in keeping concrete pavements free from snow. The thermal resistance of buildings can be enhanced with the help of PCMs by controlling the interior wall surface temperature and leading to a significant reduction in heating load. PCMs, when mixed with geopolymer concrete, lead to a reduction of unit-weight of the structure resulting in a lightweight and more energy-efficient structure. Several other applications of PCMs have been reviewed and discussed in this paper. The Differential Scanning Calorimetry (DSC) technique has primarily been used for studying the changes in latent heat and temperature of thermally treated samples and this has been discussed at length in this work. With the growing need for sustainable infrastructure, PCMs and their wide range of plausible applications enable us to broaden our perspectives in constructing energy-efficient structures.