A fireproof insulating foamed cementitious composition with thermal energy storage capacity is provided for use in producing wall insulation boards, fireproof claddings for steel structures, inner cores of fire resistant wall or door panels, and the like. The composition demonstrates improved energy efficiency in which phase change materials, such as microencapsulates, are used in conjunction with a cementitious mixture of calcined gypsum and hydraulic cement, lightweight aggregates, a polymer latex, and a foaming solution to create stable air bubbles inside the cementitious matrix. The calcined gypsum and the hydraulic cement are present in a weight ratio range from about 1:3 to about 3:1. The composition may further include reinforced fibers, surfactants, inorganic flame retardants, and other additives. The presence of the phase change material not only increases energy efficiency of the cured cementitious foam material, but also improves compatibility between calcined gypsum and cement during slurry mixing and hardening.