Enhancing energy efficiency of any system with affordable measures is always a ‘win-win’ option, specifically for systems consuming large amount of energy. With increasing population and economic growth, rapid urbanization is inevitable, more so in developing countries. Due to higher population density and scarcity of available land, high-rise residential and commercial buildings are now increasing in big cities. Building energy efficiency has eventually emerged as a critical issue for such high-rise buildings. Space cooling consumes a huge amount of energy for high-rise buildings in tropical countries. Selection of masonry materials for exterior walls with matching air conditioners should be optimized for the best energy efficiency vis-à-vis least cost for high-rise buildings. Such a study to determine the optimized solution is reported using data of ten typical high-rise residential buildings in the warm-humid climate of Kolkata, India. The methodology followed is an integrated iterative process involving whole building energy simulation to determine the optimum performance out of different possible combinations of building walls (i.e., passive measure) and selection of corresponding air conditioners (i.e., active measure) for simultaneous best energy efficiency and minimum costing. Results show that the combination of autoclaved aerated concrete block wall and 5-star split air conditioner emerges as the optimum, being 37.53% more energy efficient and 24.27% more cost effective than the typically practiced baseline option. The required 29.47% higher capital investment is well compensated for lower annual expenditure for operational energy when fifteen years’ cash flow is considered. The study shows an integrated methodology for deciding the optimum combination of passive and active measures for the possible best energy performance at a minimum cost at the early design stage of high-rise buildings.