This work presents the first results of the thermo-physical and mechanical performance analysis of new lightweight structural concretes with high thermal capacity including capsulated PCMs in a variety of mix designs and capsulation geometries. The thermal tests showed the promising phase change behavior of the composites, while the structural tests showed that their stress-strain behavior appears to be compatible with their use in structural applications, even with the highest PCM concentration (5% in weight). Overall, the multifunctional characterization showed the interesting potentialities of such new composites, given the dead load reduction obtained with their lightweight and thermal capacity increase.