The construction industry is responsible for high energetic consumption, especially associated with buildings’ heating and cooling needs. This issue has attracted the attention of the scientific community, governments and authorities from all over the world, especially in the European Union, motivated by recent international conflicts which forced the countries to rethink their energy policies. Over the years, energy consumption has been based on non-renewable energy sources such as natural gas, oil and coal. Nowadays, it is urgent to implement solutions that aim to minimize these high energetic consumptions and act based on clean and renewable energy sources. In recent years, phase change materials (PCM) have become an area of high interest and development, since they allow to minimize the energy consumption in buildings, based in solar energy, due to their thermal storage capacity. The main objective of this work consists of a perspective of the evolution of the development and application of thermal storage technology through the incorporation of PCM in the construction sector, focusing on the last 10 years of research, showing the most recent developments of its application in construction materials, such as mortars, concrete, incorporation in porous aggregates, naturally based materials, carbon-based materials, boards, blocks and solar thermal systems.