The low thermal conductivity of gypsum-based composites containing phase change materials (PCMs) has limited their application in construction materials. In this study, the mechanical and thermal properties and microstructures of paraffin (PA)/gypsum composites containing iron powder, copper powder, and expanded graphite were characterized by a universal testing machine, thermogravimetry, differential scanning calorimetry, and scanning electron microscopy. The PA/gypsum composites had optimal mechanical properties when the PA content was 20 wt.%. The compressive and flexural strengths were 9.46 MPa and 3.57 MPa, respectively. When the copper powder content increased, the densities and porosities of the PA/gypsum composites containing the copper powder did not largely change. The average density and porosity of the composites were 1.17 g/cm3 and 46%, respectively. The compressive and flexural strengths of the PA/gypsum composite containing 8 wt.% copper powder were optimal. A phase change temperature of 48.8 °C was obtained when 8 wt.% copper powder was added to the PA/gypsum composite. The thermal conductivities of the PA/gypsum composites were lower than those of PA/gypsum composites with 8 wt.% iron powder, 8 wt.% copper powder, or 8 wt.% expanded graphite. Parts of coarse calcium sulfate dihydrate crystals were present at the interfaces between the gypsum and PA, which indicated that the growth of calcium sulfate dihydrate crystals was affected by the copper powder.