The building sector is known to have a significant environmental impact, considering that it is the largest contributor to global greenhouse gas emissions of around 36% and is also responsible for about 40% of global energy consumption. Of this, about 50% takes place during the building operational phase, while around 10−20% is consumed in materials manufacturing, transport and building construction, maintenance, and demolition. Increasing the necessity of reducing the environmental impact of buildings has led to enhancing not only the thermal performances of building materials, but also the environmental sustainability of their production chains and waste prevention. As a consequence, novel thermo-insulating building materials or products have been developed by using both locally produced natural and waste/recycled materials that are able to provide good thermal performances while also having a lower environmental impact. In this context, the aim of this work is to provide a detailed analysis for the thermal characterization of recycled materials for building insulation. To this end, the thermal behavior of different materials representing industrial residual or wastes collected or recycled using Sardinian zero-km locally available raw materials was investigated, namely: (1) plasters with recycled materials; (2) plasters with natural fibers; and (3) building insulation materials with natural fibers. Results indicate that the investigated materials were able to improve not only the energy performances but also the environmental comfort in both new and in existing buildings. In particular, plasters and mortars with recycled materials and with natural fibers showed, respectively, values of thermal conductivity (at 20 °C) lower than 0.475 and 0.272 W/(m⋅K), while that of building materials with natural fibers was always lower than 0.162 W/(m⋅K) with lower values for compounds with recycled materials (0.107 W/(m⋅K)). Further developments are underway to analyze the mechanical properties of these materials.