Novel palmitic acid–decanoic acid@Ce–Eu/TiO2 (PA–DA@Ce–Eu/TiO2) microspheres with high photocatalysis–thermal–humidity collaborative performance were prepared via a two‐step method. Ce and Eu were used for codoping to modify the TiO2 hollow microspheres to enhance the photocatalytic properties. Furthermore, a eutectic phase change material (PA–DA) was combined with Ce–Eu/TiO2 hollow microspheres to prepare PA–DA@Ce–Eu/TiO2 microspheres. X‐ray diffraction and UV–VIS spectral analyses proved that Ce–Eu codoping enhanced the photocatalytic properties of the PA–DA@Ce–Eu/TiO2 microspheres under solar light; the degradation rate to gaseous formaldehyde at low concentrations reached 54.98% after 5 h. The pore structure, particle size distribution, microstructure, and thermostability of the PA–DA@Ce–Eu/TiO2 microspheres were determined using N2 adsorption isotherms, laser scattering particle size distribution analysis, scanning electron microscopy, and thermogravimetric analysis, respectively. The results showed that the Ce–Eu/TiO2 microspheres had a typical mesoporous structure, concentrated particle size distribution, and rough surface. The porous structure of the PA–DA@Ce–Eu/TiO2 microspheres was conducive to adsorb/desorb moisture, which was recorded to be 0.0575 g/g at 43.16–75.29% relative humidity. The differential scanning calorimeter analysis showed that the phase transition temperature of the PA–DA@Ce–Eu/TiO2 microspheres was 20–22°C and that the PA–DA@Ce–Eu/TiO2 microspheres were stable at 35°C. After 300 thermal cycles, the heat storage capacity of the PA–DA@Ce–Eu/TiO2 microspheres decreased by only 5%. Thus, we concluded that the PA–DA@Ce–Eu/TiO2 microspheres can purify air and control indoor thermal and humidity environments simultaneously and hence can be used as functional building materials to adjust the indoor environment.