In this research, structural-functional integrated cement-based materials were prepared by employing cement paste and a microencapsulated phase change material (MPCM) manufactured using urea-formaldehyde resin as the shell and paraffin as the core material. The encapsulation ratio of the MPCM could reach up to 91.21 wt%. Thermal energy storage cement pastes (TESCPs) incorporated with different MPCM contents (5%, 10%, 15%, 20% and 25% by weight of cement) were developed, and their thermal and mechanical properties were studied. The results showed that the total energy storage capacity of the hardened cement specimens with MPCM increased by up to 3.9-times compared with that of the control cement paste. The thermal conductivity at different temperature levels (35–36 °C, 55–56 °C and 72–74 °C) decreased with the increase of MPCM content, and the decrease was the highest when the temperature level was 55–56 °C. Moreover, the compressive strength, flexural strength and density of hardened cement paste decreased with the increase in MPCM content linearly. Among the evaluated properties, the compressive strength of TESCPs had a larger and faster degradation with the increase of MPCM content.