Increasing demand for energy globally, with the building sector being a significant contributor to energy consumption, is a major issue. To address this, efforts are being made to make buildings more energy efficient, including lowering the demand for heating, ventilation, and air conditioning to decrease energy demand. Phase change material (PCM) functions as a latent heat energy storage material that absorbs heat energy while transforming its phase from solid to liquid and then releases the heat energy when it transforms from liquid to solid state. Integrating PCM into building materials can considerably enhance their energy storage density. In this study, the potential of using fly ash cenosphere—capric acid (CeCA) composite PCM in concrete is evaluated. The mechanical, durability and thermal properties of the CeCA blended concrete were investigated. Furthermore, the CeCA‐concrete is enhanced with auxiliary cementitious substance, namely ground granulated blast furnace slag (GGBS). The optimal proportion of CeCA was determined to ensure a balance of compressive strength and thermal conductivity. The results indicated that the compressive strength of the CeCA blended concrete lowered with an increase in the percentage of CeCA. The thermal conductivity of the concrete specimen was lowered by 33.14% at a 25% incorporation of CeCA, resulting in improved thermal performance. The incorporation of GGBS has enhanced the mechanical and durability performance of CeCA‐Concrete. The optimal concrete specimen was found to be 25% CeCA +40% GGBS, which had greater thermal efficiency than the control specimen with similar strength performance. The findings were validated by field emission scanning electron microscopy analysis of the concrete specimen.