To improve the energy efficiency and photo-thermal performance of a double-layer PCM glazing window (DP), multilayer PCM glazing windows integrating DP (combination structures) with installations and low-e coating have been developed. However, the energy efficiency of a multilayer glazing window is not higher than DP in all climate zones. The selection of the appropriate optimization strategy of DP, i.e., selecting the most energy-saving multilayer glazing window, should take into account the specific climatic conditions. In this study, five PCM glazing windows (DP and four multilayer combination structures) are proposed. Physical heat transfer and mathematical models were conducted to numerically investigate the thermal and energy performance by Fluent in different climate zones in China. Evaluation indexes for different climate zones were established, and the energy-saving potential of each PCM glazing window was compared, and the resulting combination structure with the most energy-saving potential in each climate zone was regarded as the optimization strategy of DP. The results demonstrated that DP with the external silica aerogel has been identified as the optimization strategy for severe cold zones with 40.28% of energy saved, but it increases energy consumption in mild zones and hot summer and warm winter zones. DP with an external air layer and internal low-e coating is considered for the optimization strategies for cold zones, hot summer, and cold winter zones, and hot summer and warm winter zones, with energy-saving potential rates up to 40.67%, 46.42%, and 46.99% respectively. However, it increases energy consumption in mild zones and cold zones. In addition, DP is proven to possess the lowest energy consumption in mild zones.