This work investigates and improves the thermal dynamics of autoclaved aerated concrete (AAC) wall containing phase change material (PCM). The PCM is paraffin wax loaded into conical holes drilled into the AAC. Filled AAC with three different numbers of PCM-filled holes (2, 3, and 4 conical holes, which are designated as AAC-2H, AAC-3H, and AAC-4H, respectively) as well as the unfilled original AAC were both tested under two different conditions: indoors (with controlled temperature) and outdoors (with actual weather). For the indoor experiment, a heater was used as a thermal source and set up to maintain the testing temperature at one of three levels: 40 °C, 50 °C, or 60 °C. The wall temperature was then measured on the surface with each horizontally-positioned wall as well as four different positions at various depths below the surface of the wall. It was found that AAC-4H was the optimum condition, which can produce outstandingly a time lag of approximately 27%, reduce a decrement factor of approximately 31%, and also decrease the room temperature. This reached approximately 9% when compared with that of ordinary AAC at the controlled testing temperature of 60 °C. All samples were further tested in actual weather to confirm the thermal performances of AAC-4H. Thermal effectiveness of AAC-4H was improved by extending approximately a 14.3% time lag, which reduces approximately a 4.3% decrement factor and achieving approximately 5% lower room temperature when compared with ordinary AAC.