Spiking neural networks (SNN) are artificial computational models that have been inspired by the brain's ability to naturally encode and process information in the time domain. The added temporal dimension is believed to render them more computationally efficient than the conventional artificial neural networks, though their full computational capabilities are yet to be explored. Recently, computational memory architectures based on non-volatile memory crossbar arrays have shown great promise to implement parallel computations in artificial and spiking neural networks. In this work, we experimentally demonstrate for the first time, the feasibility to realize high-performance event-driven in-situ supervised learning systems using nanoscale and stochastic phase-change synapses. Our SNN is trained to recognize audio signals of alphabets encoded using spikes in the time domain and to generate spike trains at precise time instances to represent the pixel intensities of their corresponding images. Moreover, with a statistical model capturing the experimental behavior of the devices, we investigate architectural and systems-level solutions for improving the training and inference performance of our computational memory-based system. Combining the computational potential of supervised SNNs with the parallel compute power of computational memory, the work paves the way for next-generation of efficient brain-inspired systems.