The lack of robust and low-cost sorbent materials still represents a formidable technological barrier for long-term storage of (renewable) thermal energy and more generally for Adsorptive Heat Transformations—AHT. In this work, we introduce a novel approach for synthesizing cement-based composite sorbent materials. In fact, considering the number of available hygrosopic salts that can be accommodated into a cementitious matrix—whose morphological properties can be also fine-tuned—the new proposed in situ synthesis paves the way to the generation of an entire new class of possible sorbents for AHT. Here, solely focusing on magnesium sulfate in a class G cement matrix, we show preliminary morphological, mechanical and calorimetric characterization of sub-optimal material samples. Our analysis enables us to theoretically estimate one of the most important figures of merit for the considered applications, namely the energy density which was found to range within 0.088–0.2 GJ/m 3 (for the best tested sample) under reasonable operating conditions for space heating applications and temperate climate. The above estimates are found to be lower than other composite materials in the literature. Nonetheless, although no special material optimization has been implemented, our samples already compare favourably with most of the known materials in terms of specific cost of stored energy. Finally, an interesting aspect is found in the ageing tests under water sorption-desorption cycling, where a negligible variation in the adsorption capability is demonstrated after over one-hundred cycles.