Utilizing phase change materials (PCMs) in building envelope has been proved to be able to effectively reduce the indoor temperature variations, of which the preparation of composite PCMs is rather important due to the leakage of PCMs. This work proposed a novel fabrication approach of cement-based composite phase change materials (CCPCMs) by means of the water solubility of polyethylene glycol (PEG) and the hydraulicity of cement. The microstructure, mineral component and latent heat storage capacity of CCPCMs were characterized by a series of experiments, including scanning electron microscopy (SEM), Fourier transform infrared rheometer (FTIR), X-ray diffraction (XRD), differential scanning calorimeter (DSC), thermal gravimetric analyzer (TGA) and leakage test. The potential cooling effect of the CCPCMs was also verified using an indoor irradiation test. The result of SEM test shows that PEG was well incorporated into cementitious matrix, which was also confirmed by the leakage test. The FTIR and XRD results indicate that PEG did not react with cement. In the DSC test, the prepared CCPCMs were observed to have phase transition enthalpy as high as 37.47 J/g. The TGA test reveals that CCPCMs had excellent thermal stability below the temperature of 300 degrees C. Furthermore, compared to control cement paste, the surface temperature of CCPCMs sample reduced by a maximum of 6.2 degrees C, showing that CCPCMs had a good thermal storage capacity. The findings of the paper indicate that the prepared CCPCMs have great potentials to be applied in thermal energy storage buildings.