Energy efficiency and waste recovery have vital importance for a sustainable environmental progress. This study contributes to both issues considering three different aspects which are (i) production of an energy-efficient building material, (ii) utilization of waste materials inside the produced composites, and (iii) use of an eco-friendly production method. The first part of the research explains the design, optimization, and performance of cold-bonded lightweight aggregates. By-products such as fly ash (FA), ground granulated blast furnace slag (GGBS) were utilized to manufacture these aggregates. Taguchi method was employed in the experimental design of the aggregate composition. Factors influencing the engineering properties of aggregates and their contribution ratios were investigated using analysis of variance (ANOVA). Binder composition was found to be the most important factor influencing physical properties, while the curing time was the dominant factor effecting the strength of the aggregates. Optimal values of the factors were determined, and in the second part of the research, aggregate mixture design was enhanced using a microencapsulated phase change material (PCM) for a better thermal performance. The effect of different PCM ratios to the engineering properties of the produced pellets was studied experimentally.