Energy performance in buildings and integrated systems represents a key aspect influencing anthropogenic emissions worldwide. Therefore, novel multifunctional materials for improving envelope thermo-energy efficiency through passive techniques are presently attracting notable researchers' effort. In this view, the integration of phase change materials (PCMs) into structural concrete showed interesting effects in enhancing the material thermal capacity while keeping proper structural strength. This work presents a multiphysics thermo-mechanical investigation concerning innovative concretes incorporating paraffin-based PCM suitable for structural-thermal multifunctional applications in high-energy efficiency building envelopes. Both classic microPCM-capsules and the novel more pioneering macroPCM-capsules with 18 degrees C phase transition temperature are used for the new composite preparation. Results confirm the thermal benefits of PCM and demonstrate that the addition of PCM reduces the mass density of concrete by almost twice PCMs weight. Average compressive strength decreases with increasing the amount of PCM, but its coefficient of variation is not as negatively affected, which is promising in terms of structural reliability. Indeed, a 1% weight content of microPCM and macroPCM results in reduced coefficients of variation of the compressive strength, determining an increase in characteristic compressive strength. This benefit might be associated to both a filler effect of the PCM and to a positive thermal interaction between inclusions and cement hydration products The multifunctional analysis showed promising performance of PCM-based macro-capsules as aggregates, even if their concentration is relatively minor than the classic micro-capsules already acknowledged as effective additives for high energy efficient cement-based materials.