Energy consumption in buildings accounts for up to 34% of total energy demand in developed countries. Thermal energy storage (TES) through phase change materials (PCM) is considered as a promising solution for this energetic problem in buildings. The material used in this paper is an own-developed shape stabilized PCM with a polymeric matrix and 12% paraffin PCM, and it includes a waste from the recycling steel process known as electrical arc furnace dust (EAFD), which provides acoustic insulation performance capability. This dense sheet material was installed and experimentally tested. Ambient temperature, humidity, and wall temperatures were measured and the thermal behaviour and acoustic properties were registered. Finally, because of the nature of the waste used, a leaching test was also carried out. The thermal profiles show that the inclusion of PCM decreases the indoor ambient temperature up to 3 °C; the acoustic measurements performed in situ demonstrate that the new dense sheet material is able to acoustically insulate up to 4 dB more than the reference cubicle; and the leaching test results show that the material developed incorporating PCM and EAFD must be considered a non-hazardous material. The research leading to these results has received funding from the European Commission Seventh Framework Programme (FP/2007–2013) under grant agreement n° PIRSES-GA-2013-610692 (INNOSTORAGE) and from the European Union's Horizon 2020 research innovation programme under grant agreement No 657466 (INPATH-TES). Furthermore, the work is partially funded by the Spanish government (ENE2011-28269-C03-02 and ENE2011-22722). The authors would like to thank the Catalan Government for the quality accreditation given to their research groups GREA (2014 SGR 123) and DIOPMA (2014 SGR 1543). Alvaro de Gracia would like to thank Education Ministry of Chile for Grant PMI ANT 1201.