Conventional high-cost conductive filler as the crucial ingredient of multifunctional concrete might negatively affect the workability and mechanical properties. Petroleum coke as a low-cost by-product was ever used as the conductive filler in cementitious composites, while its mechanical properties were disregarded in the design of cementitious composites due to pore structure. This study demonstrates that calcined petroleum coke (CPC) can effectively improve the mechanical properties, workability, and electrical conductivity of ultra-lightweight engineered cementitious composites (ULW-ECCs). Besides, multifunctional ULW-ECCs were developed by using fly ash cenospheres (FAC) and CPC, which show heat insulation, heat energy harvesting, and self-healing functions. The new ULW-ECCs showed high pseudo-strain-hardening indices due to the dense matrix and had an oven-dry density of 1262–1428 kg/m3, compressive strength of 58.1–76.3 MPa, tensile strain capacity of 8.0–8.8 %, tensile strength of 5.2–6.1 MPa, and flexural strength of 13.1–17.6 MPa. Furthermore, the multiple micro-cracks of ULW-ECCs show excellent self-healing properties. The electrical conductivity, Seebeck coefficient (under different moisture conditions), and thermal conductivity and effusivity were tested. The meso- and micro-structure analyses were conducted to explain the results. The new ULW-ECCs show low thermal conductivity and effusivity due to the use of FAC. The ULW-ECCs incorporating CPC result in a P-type thermoelectric voltage and exhibit a Seebeck coefficient of 4060 μV/°C which is higher than that of cementitious composites using different conductive fillers in previous literature, suggesting that the newly developed ULW-ECCs could be viable thermoelectric composites.