To develop a heat-generating asphalt pavement utilizing a phase-change material (PCM), this study evaluated the application method of a PCM as an asphalt material and the thermal and physical properties of asphalt mixtures. The selection of PCM materials according to the phase-change temperature range suitable for thermal asphalt pavements and the encapsulation method for application to asphalt materials were examined, and encapsulated PCMs (ePCMs) using various materials were produced. The thermal and physical properties were evaluated through chamber experiments and strength tests by applying the ePCMs to asphalt mixtures. The characterization results of the ePCMs showed that ePCM-C had the highest latent heat, thermal stability, and physical stability in the asphalt binder and mixture. The chamber test results showed that ePCM-C, which had high latent heat, had the longest temperature delay time under all conditions. The mixing ratio was calculated by volume to substitute low-density ePCM into the mixture; as the ePCM content increased, the asphalt content also increased. The results of the Marshall stability and indirect tensile strength tests indicated that as the ePCM content increased, the strength and crack resistance properties decreased. Asphalt mixtures containing ePCMs have demonstrated the ability to maintain temperature for a long time within a specific temperature range. If an ePCM is improved such that it is not damaged under the production conditions of asphalt mixtures, it is expected to be sufficiently utilized as a technology for preventing road freezing.