Phase change materials (PCMs) have been identified as potential candidates for building energy optimization by increasing the thermal mass of buildings. The increased thermal mass results in a drop in the cooling/heating loads, thus decreasing the energy demand in buildings. However, direct incorporation of PCMs into building elements undermines their structural performance, thereby posing a challenge for building integrity. In order to retain/improve building structural performance, as well as improving energy performance, micro-encapsulated PCMs are integrated into building materials. The integration of microencapsulation PCMs into building materials solves the PCM leakage problem and assures a good bond with building materials to achieve better structural performance. The aim of this article is to identify the optimum micro-encapsulation methods and materials for improving the energy, structural and safety performance of buildings. The article reviews the characteristics of micro-encapsulated PCMs relevant to building integration, focusing on safety rating, structural implications, and energy performance. The article uncovers the optimum combinations of the shell (encapsulant) and core (PCM) materials along with encapsulation methods by evaluating their merits and demerits.