The purpose of this review is to provide an overview of the available gypsum based composite including various phase change materials employed to increase the thermal energy storage capacity of building materials. A wide range of materials such as n-alkane, saturated fatty acid, fatty acid esters etc are used as phase change materials. Adding carbonaceous material (carbon nanofibers, activated nanocarbon, graphite nanosheets etc.) to augment some properties is also a common practice. In addition, there are presented the methods of obtaining the nano/macro-composites together with some thermal characteristics of the newly prepared materials.