One of the most efficient measures to reduce energy consumption in buildings is using passive thermal comfort strategies. This paper shows the potential of coconut oil as a bio-based phase change material (PCM) incorporated into construction components to improve the thermal performance of buildings for several climates, due to its environmental advantages, wide availability, and economic feasibility. The thermophysical properties of coconut oil were determined through differential scanning calorimetry. Numerical simulations were conducted in ESP-r, comparing an office space with a gypsum ceiling to one with coconut oil as PCM for 12 climate types in the Köppen–Geiger classification. The results show that coconut oil is a suitable PCM for construction applications under tropical and subtropical climates. This PCM can provide year-round benefits for these climates, even though a higher melting point is needed for optimum performance during hotter months. The highest demand reduction of 32% and a maximum temperature reduction of 3.7 °C were found in Mansa, Zambia (Cwa climate). The best results occur when average outdoor temperatures are within the temperature range of phase change. The higher the diurnal temperature range, the better the results. Our findings contribute to a better understanding of coconut oil in terms of its properties and potential for application in the building sector as PCM.