Syntactic foams (SFs) are characterized by a unique combination of low density, high mechanical properties, and low thermal conductivity. Moreover, these properties can be tuned to specific applications. In contrast to traditional foams, where porosity is formed during the foaming process, porosity in syntactic foams can be obtained simply by incorporating pre-formed bubbles. Because of their high chemical stability and buoyancy, these type of foams found their first application in the marine industry. Nowadays, they are utilized in many other fields, such as in the aerospace and automotive industry. In this work, the multifunctionality of epoxy-based and polypropylene (PP)-based SFs was increased by including a microencapsulated Phase Change Material (PCM), able to impart Thermal Energy Storage (TES) capability at phase transition temperatures of 43 °C and 57 °C. The rheological, morphological, thermal, and mechanical properties of the prepared materials were systematically investigated. A final comparison of the two systems was performed to obtain a better comprehension of their potential in emerging industrial applications.