Abstract In recent years, the overall energy consumption is increasing significantly and the energy consumption in the building sector represents over 30% of the global ones in developed countries. Thermal energy storage (TES) using phase change materials (PCM), which are materials able to store high amounts of energy as latent heat, is suggested as a possible solution to decrease the energy consumption. The authors of this paper developed materials able to encapsulate/stabilize PCM in addition to isolate an industrial residue from the steel recycling process: electrical arc furnace dust (EAFD). This waste is a hazardous dust, and when it is combined with a polymeric matrix produce dense sheet materials suitable for multilayered constructive systems. In this paper the physical, mechanical, thermal and acoustical characterization of two new materials with EAFD and PCM in a polymeric matrix for constructive system is presented. The results are compared with those obtained for one commercial dense sheet material available in the market, Texsound commercialized by TEXSA (Spain). The new dense sheet materials developed in this paper have similar acoustic properties compared to the results obtained for the commercial material and are competitive with it, even better because the new material incorporates PCM which increases the thermal inertia of final constructive system.