In this research, we focused on the development of composite phase-change materials (CPCMs) by incorporation of a paraffin through vacuum impregnation in widely used building materials (Kaolin and ground granulated blast-furnace slag (GGBS)). The composite PCMs were characterized using environmental scanning electron microscopy (ESEM), Fourier transform infrared spectroscopy (FT-IR), differential scanning calorimetry (DSC) and thermogravimetric analysis (TGA) techniques. Moreover, thermal performance of cement paste composite PCM panels was evaluated using a self-designed heating system. Test results showed that the maximum percentage of paraffin retained by Kaolin and GGBS was found to be 18% and 9%, respectively. FT-IR results show that CPCMs are chemically compatible. The phase-change temperatures of CPCMs were in the human comfort zone, and they possessed considerable latent-heat storage capacity. TGA results showed that CPCMs are thermally stable, and they did not show any sign of degradation below 150 °C. From thermal cycling tests, it was revealed that the CPCMs are thermally reliable. Thermal performance tests showed that in comparison to the control room model, the room models prepared with CPCMs reduced both the temperature fluctuations and maximum indoor center temperature. Therefore, the prepared CPCMs have some potential in reducing peak loads in buildings when applied to building facade.