Increasing concerns about climate change and global warming bring about technical steps for the development of several energy-efficient technologies. Since the building sector is one of the largest energy users for cooling and heating necessities, the incorporation of a proper energy-efficient material into the building envelopes could be an interesting solution for saving energy. Phase change material (PCM)-based thermal energy storage (TES) seems suitable to provide efficient energy redistribution. This is possible because the PCM is able to store and release its latent heat during the phase change processes that occurs according to the environmental temperature. The purpose of this paper was the characterization of the thermal properties of a composite PCM (i.e., Lecce stone/poly-ethylene glycol, previously developed) incorporated into mortar compositions based on different binders (i.e., hydraulic lime and cement). The study was carried out using an experimental set up through which it was possible to simulate the different seasons of the years. It was observed that the addition of PCM in mortars leads to a decrease of the maximum temperatures and increase of the minimum temperatures. Furthermore, the results shown a reduction of the heating and cooling needs, thus confirming the capability of this material to save energy.