This study aimed to assess the developed nonwoven inserts with aerogel/PCM (phase change material) microcapsules for use in protective clothing against cold in terms of properties related to thermophysiological comfort. These inserts were obtained by the thermal bonding of a multilayer system consisting of needled-punched nonwovens and silica aerogel particles and/or PCM microcapsules evenly distributed between them. The influence of aerogel and PCM microcapsules on the basic physical properties of inserts, their microstructure, air permeability, and water vapor resistance was investigated and analyzed. The thermal insulation properties of inserts were assessed based on thermal conductivity results. The inserts with PCMs were also tested for their ability to regulate the temperature in the undergarment microclimate using the differential scanning calorimeter (DSC) and the “skin model” device. The research showed that the use of aerogel allowed for reducing the thermal conductivity of the insert by approximately 13% compared to the insert without additives. The high values obtained of the melting and crystallization enthalpy of inserts with PCMs confirmed their high efficiency in the heat absorption and release. Thus, the use of aerogel and PCMs in protective clothing against cold seems to be an effective solution for improving its protective properties and actively adapting its thermal insulation to the changing temperature conditions and the activity level of employees.