Thermoregulating composites were produced by using a thermoregulating slurry (NPCS) containing nanoencapsulated phase change material (NPCM) from poly(styrene-co-divinylbenzene) as shell and the commercial paraffin Rubitherm®RT27 as core material. These composites were synthesized by using the constitutive water of the slurry as setting water and changing the NPCM/Hemihydrate (NPCM/Hem) mass ratio within 0.0–0.41. It was found that nanoparticles were uniformly dispersed into the gypsum, and the gypsum crystal morphology was tuned by the addition of the slurry. Attending to the thermal properties, these materials can work either as insulating or thermal energy storage materials, decreasing the thermal conductivity up to ~ 50%, whereas the thermal energy storage (TES) capacity is enlarged in a ~ 140%, respect to the pure gypsum, when the maximum NPCM/Hem mass ratio was used. This composite had a latent heat of 30.2 J g−1 and a heat capacity of equivalent 3.5 J g−1 K−1. Composites from a NPCM/Hem mass ratio up to 0.15 satisfied European mechanical standard EN 13,279–1 for gypsum binders and gypsum plasters and all of them, presented a bulk density higher than 0.60 g cm−3. The addition of a 41% in mass of nanocapsules allowed to save 13.5 kWh m−3 and, reducing the CO2 emissions up to 3.4 kg of CO2 per operating cycle. The use of this new material would lead to significant energy and economic savings, as well as a considerable reduction in the emission of polluting gases into the atmosphere.