This paper presents an innovative concept of multifunctional lightweight aggregate, which is produced by loading phase change material (PCM) into the interior of lightweight sand (LWS) and sealing the surface pores using water. The PCM loaded in the LWS functionalizes it as a temperature management agent in concrete, and the water in surface pores enables internal curing. It has been found that the particle shape and pore structure of crushed expanded shale LWS makes it an ideal carrier for PCM, loading sufficient PCM and maintaining better (compared to natural sand) mechanical interlocking. When coupled with the internal curing effect, the LWS yields an interpenetrated interfacial transition zone with the cement paste, leading to a compressive strength comparable to natural sand mortar. The hydration products penetrated into the surface pores also helps stabilizing PCM in the LWS. However, any PCM residuum non-stabilized in LWS tends to compromise the strength. Under an optimized scenario, the LWS-PCM composite aggregate is produced by grading, PCM impregnation, rinsing, and water saturation. A mortar proportioned with this aggregate yields comparable 28-day strength to the reference mortar and a 63% lower autogenous shrinkage (because of internal curing). Furthermore, it shows a 7 oC lower semi-adiabatic temperature rise, delayed appearance of peak temperature and gentled cooling curve. These results indicate that the functional aggregate can effectively mitigate the risk of thermal cracking in early-age mass concrete. In addition, PCM remained in aged concrete has a potential to improve its adaptivity to temperature fluctuations in the service environment.