This study aims to evaluate the thermal behavior of a cement mortar wall (denoted M15D) including bio-based microencapsulated phase change materials (mPCMs) in comparison to a reference wall without mPCMs (M0). A bi-climatic test setup was designed and built in order to submit the two sides of the walls to different hygrothermal conditions representing the outdoor and indoor environments. Two scenarios were considered for the outdoor conditions: a cyclic solicitation of 12 h at 40 °C followed by 12 h at 15 °C to simulate a day/night variation, and a step change from 20 °C to 40 °C followed by prolonged exposure at 40 °C until steady-state, both at fixed relative humidity (50% RH). Temperature sensors installed at different depths made it possible to monitor temperature gradients within the walls during the tests. Overall, quite similar responses were collected for the two walls exposed to the same outdoor scenario. However, the maximum temperatures recorded on the external face and at several depth locations were slightly lower for the M15D wall compared to M0, with a gap of about 1 °C. This result suggests that the incorporation of mPCMs in the wall may contribute to dampen the effect of external temperature variations, although this action remains limited. Furthermore, this bio-based mPCM system offers an environmentally friendly alternative to traditional paraffinic mPCMs.