Phase change materials (PCMs) are promising materials for the energy efficiency improvement of building enclosures, due to their energy storage capacity. The thermal behaviour of a multi-layered building enclosure with five different compositions of PCM cement-lime mortars was evaluated under heating and cooling cycles. The behaviour of cement-lime mortars with 20% of microencapsulated PCM mixed with other additions, such as cellulose fibres and perlite, a lightweight aggregate (LWA), were studied under climate conditions of 15 °C–82% RH (cooling) and 30 °C–33% RH (heating) that were applied with a climatic chamber. Temperature and heat flux on both sides of the multi-layered enclosure were experimentally measured in laboratory tests. Temperature was also measured on both sides of the PCM cement-lime mortar layer. It was observed that the addition of the PCM cement-lime mortar layer delayed the heat flux through the enclosure. During a heating cycle, the incorporation of PCM delayed the arrival of the heat wave front by 30 min (8.1% compared to the reference mortar without PCM). The delay of the arrival of the heat wave front during the cooling cycle after adding PCM, compared to the reference mixture, reached 40.6% (130 min of delay). Furthermore, the incorporation of LWA in PCM cement-lime mortars also improved thermal insulation, further increasing energy efficiency of the building enclosure, and can be used not only for new buildings but also for energy rehabilitation of existing building enclosures.