Materials able to store thermal energy can be a useful strategy in order to reduce energy consumption of buildings and to decrease greenhouse gases emissions. In this work, for the first time, the technique of salt leaching has been used for the production of novel polyethylene foams containing different amounts of a microencapsulated phase change material (PCM) with a melting point of 24 °C, to be potentially applied in building insulation. The microstructural, thermal and mechanical properties of the produced foams have been comprehensively investigated. The prepared foams were characterized by high values of open porosity (about 60 %) and by density values around 0.4 g/cm3. Differential scanning calorimetry tests revealed that the adopted production process caused a partial loss of PCM, resulting in an effective PCM content of around 33 % for the sample with the highest PCM loading (56 wt%). Infrared thermography analysis demonstrated that the time required from the samples to reach a set temperature, thanks to the presence of PCM, was up to two times higher with respect to the reference foam. Shore-A measurements evidenced that the addition of PCM generally led to a softening of the foams. Tensile mechanical tests confirmed the softening effect provided by the addition of the microcapsules, with a decrease of the stiffness and of the strength of the material. Interestingly, strain at break values were considerably increased upon PCM introduction.