The application of thermal energy storage with phase change materials (PCMs) for energy efficiency of buildings grew rapidly in the last few years. In this research, octadecane paraffin was served as a PCM, and a structural concrete with the function of indoor temperature control was developed by using a macro-encapsulated PCM hollow steel ball (HSB). The macro-encapsulated PCM-HSB was prepared by incorporation of octadecane into HSBs through vacuum impregnation. Test results showed that the maximum percentage of octadecane carried by HSBs was 80.3% by mass. The macro-encapsulated PCM-HSB has a latent heat storage capacity as high as 200.5 J/g. The compressive strength of concrete with macro-encapsulated PCM-HSB at 28 days ranged from 22 to 40 MPa. The indoor thermal performance test revealed that concrete with macro-encapsulated octadecane-HSB was capable of reducing the peak indoor air temperature and the fluctuation of indoor temperature. It can be very effective in transferring the heating and cooling loads away from the peak demand times.