Energy conservation has emerged as a strategic target worldwide, which will enable the protection of the environment and the preservation of natural resources. Energy consumption in buildings for heating and cooling is considered one of the main sources of energy consumption in several countries. For this reason, there is an ongoing search for appropriate alternatives to preserve energy and reduce energy losses. To overcome this challenge, thermal insulation is becoming increasingly essential to save energy. Although a large number of insulation materials are used commercially, this sector still faces various challenges such as cost, thermal and mechanical properties, the end-of-life cycle, as well as health issues, etc. Furthermore, the harmful impact of buildings on the environment and health issues should be considered not only in relation to the energy expended whilst using them but also in relation to the energy performance materials they are constructed from. The insulation materials commonly used in the construction industry today are polymer-based materials such as polystyrene and polyurethane foam. These materials have a critical impact on the environment. In light of these results, several researchers have concluded that it is imperative to develop insulating materials with outstanding properties that have a lower impact on the environment and are relatively affordable. Agricultural and/or industrial wastes, and even natural fibers, are increasingly used as green insulation materials, as they are an eco-friendly, cost-effective alternative to conventional oil-based materials, as well as the fact that their end-of-life cycle does not pose a critical problem. This review paper discusses the several renewable resources and industrial wastes developed as thermal insulations. Furthermore, it sheds light on composite materials used as construction materials, as well as their end-of-life cycle.