The recent progress of Nanotechnology allowed the development of new smart materials in several fields of engineering. In particular, innovative construction materials with multifunctional enhanced properties can be produced. The paper presents an experimental characterization on cement-matrix pastes doped with Carbon Nanotubes, Carbon Nano-fibers, Carbon Black and Graphene Nano-platelets. Both electro-mechanical and thermo-physical investigations have been carried out. The conductive nano-inclusions provide the cementitious matrix with piezo-resistive properties allowing the detection of external strain and stress changes. Thereby, traditional building materials, such as concrete and cementitious materials in general, would be capable of self-monitoring the state of deformation they are subject to, giving rise to diffuse sensing systems of structural integrity. Besides supplying self-sensing abilities, carbon nano-fillers may change mechanical, physical and thermal properties of cementitious composites. The experimental tests of the research have been mainly concentrated on the thermal conductivity and the optical properties of the different nano-modified materials, in order to make a critical comparison between them. The aim of the work is the characterization of an innovative multifunctional composite capable of combining self-monitoring properties with proper mechanical and thermal-energy efficiency characteristics. The potential applications of these nano-modified materials cover a wide range of possibilities, such as structural elements, floors, geothermal piles, radiant systems and more.