Phase change materials (PCMs) have received extensive attention due to their high latent heat storage density and isothermal behavior during heat charging and discharging processes. The application of PCMs in buildings would match energy supply and demand by using solar energy effectively, thereby reducing building energy consumption. In this study, a diatomite/paraffin (DP) composite was prepared through a vacuum-impregnated process. The thermo-physical performance, thermal stability, chemical structure and thermal reliability of the DP composite were evaluated. To develop a structural–functional integrated energy storage building material, carbon fibers (CF) were chosen as the reinforcing material. The mechanical and thermal properties of CF-reinforced DP/gypsum were examined. It is evident that the flexural strength and thermal conductivity of DP/gypsum containing 1 wt. % CF increased by 176.0% and 20.3%, respectively. In addition, the results of room model testing demonstrated that the presence of CF could enhance the overall thermal conductivity and improve the thermo-regulated performance of DP/gypsum. Moreover, the payback period of applying CF-reinforced DP/gypsum in residential buildings is approximately 23.31 years, which is much less than the average life span of buildings. Overall, the CF reinforced DP/gypsum composite is promising for thermal energy storage applications.