The development of novel materials and approaches for effective energy consumption and the employment of renewable energy sources is one of the current trends in modern material science. With this respect, the number of researches is focused on the effective harvesting and storage of solar energy for various applications. Phase change materials (PCMs) are known to be able to store thermal energy of the sunlight due to adsorption and release of latent heat through reversible phase transitions. Therefore, PCMs are promising as functional additives to construction materials and paints for advanced thermoregulation in building and industry. However, bare PCMs have limited practical applications. Organic PCMs like paraffins suffer from material leakage when undergoing in a liquid state while inorganic ones like salt hydrates lack long-term stability after multiple phase transitions. To avoid this, the loading of PCMs in porous matrices are intensively studied along with the thermal properties of the resulted composites. The loading of PCMs in microcontainers of natural porous or layered clay materials appears as a simple and cost-effective method of encapsulation significantly improving the shape and cyclic stability of PCMs. Additionally, the inclusion of functional clay containers into construction materials allows for improving their mechanical and flame-retardant properties. This article summarizes the recent progress in the preparation of composites based on PCM-loaded clay microcontainers along with their future perspectives as functional additives in thermo-regulating materials.