This paper presents a diatomaceous earth/phase change microcapsule (D/PCM) composite material as an alternative to traditional architectural coatings, which can significantly enhance the thermal comfort of passive houses. Four different composite materials with varying phase change capsule contents were prepared, and their thermophysical properties and thermal stability were tested. The results show that these coatings exhibit excellent thermal performance and can effectively improve indoor environments. Among them, the D/PCM coatings with 10% and 20% phase change capsule content demonstrated good material stability and have broad application prospects.