To optimize the properties of gypsum wallboards incorporated with Composite Phase Change Material (CPCM), orthogonal test was used, and according to the practical conditions, the mechanical properties and thermal performance of gypsum wallboards incorporated with CPCM were studied. The results show that, the compression and flexural strength of gypsum board decreases with the increase of CPCM content, and increases with the increase of steel fiber content or moisture content. Under different temperature conditions, the influence of various factors on the thermal conductivity is in a different order. Increasing internal relative humidity and steel fiber dosage, leads to increase in the thermal conductivity, but increasing the CPCM content leads to decrease the thermal conductivity. The thermal conductivity of gypsum board is dependent on the initial board temperature. The maximum thermal conductivity appears in the phase transition temperature interval of CPCM.