The cold-formed thin-walled steel (CFS)-paper straw board (PSB) composite walls takes as the research object. The thermal performance of the wall was analyzed by the building heat transfer theory and the finite element analysis software ANSYS, explored the influence of relevant parameters on heat transfer coefficient of composite wall and proposed supplementary correction coefficient for applying the type of composite walls. The heat flux density field, temperature distribution field, node temperature, and heat transfer coefficient of the walls were also obtained. The specific parameters analyzed using this model mainly included the insulation material, web height, thickness of the section steel, width of the flange, length of the hole, number of hole rows, and horizontal and longitudinal spacing of the holes. The findings show that an increase in the web height reduces the heat transfer coefficient of the composite wall, which is conducive to improving the thermal insulation performance of the walls. The CFS-PSB composite wall with a web opening can significantly improve the heat transfer performance of the wall, reduce heat loss, and control the local thermal bridging phenomenon. The hole length, specific gravity of the openings, and number of openings were the main parameters affecting the thermal insulation performance of the walls.