Using phosphogypsum (PG) as raw material to produce building blocks is one of the primary methods to gradually solve the problem of large-scale stockpiling of PG. By combining phase change materials with phosphogypsum blocks (PGB), energy-saving building blocks with phase change materials could be produced, offering an effective temperature regulation system for passive ultra-low energy buildings. However, PGB suffers from poor water resistance, and the dissolution of PO43- and F- poses environmental concerns, significantly limiting its application. Firstly, the preparation of high enthalpy shape stable organic phase change pellets was studied. Then, using phase change pellets, PG, and polyacrylic acid (PAA) as raw materials, PGBs with phase change materials were prepared. Finally, different polymers were used to coat the blocks to improve the water resistance of PGB. The results reveal that when the mass ratio of paraffin wax, expanded graphite, and styrene-ethylene-butadiene-styrene copolymer is optimized at 93:4:3, shape-stable phase change pellets with an enthalpy value of 208.1 J/g and a thermal conductivity of 0.8 W/(m·K) could be obtained. Moreover, when the mass ratio of PAA, H2O, and PG is set at 2.5:22:100, the compressive strength of PGB could reach a remarkable level of 16.5 MPa. Notably, the polyurethane-coated PGB exhibits a significantly reduced dissolution concentration of PO43- below 0.01 mg/L and F- at 0.04 mg/L. Under simulated solar illumination conditions, PCB-32 and PCB-41 containing phase change pellets demonstrate indoor ambient temperatures lower than PGB by 4.9 °C and 4.3 °C, respectively. This study provides a new path for the large-scale utilization of PG in building materials.