The use of fly ash in compositions as a substitute for a part of cement is economically favorable and ecologically feasible in connection with large accumulations of waste at the enterprises of the energy sector. In addition, the technology of cement production provides high-temperature treatment of mineral substances in kilns with significant emissions of carbon dioxide. One of the most effective directions of the utilization of fly ash is their use in concrete composites. The use of this material will provide the required temperature and humidity conditions in residential premises, solve the problem of “cold bridges” in structures, minimize heat losses of the structure, and increase the energy efficiency of buildings in general. At the same time, polystyrene concrete, due to its structural structure and the presence of thermally conductive concrete, has limited opportunities for thermal and physical–mechanical properties. To improve the operational properties of polystyrene concrete, it is proposed to use composite binders, including fly ash from the thermal power station of Astana. The main aim of this study is to develop compositions of polystyrene concrete with reduced thermal conductivity and improved physical and mechanical properties. The objectives of this study include the determination of characteristics of fly ash from Astana, formulation of polystyrene concrete mixtures with different proportions of fly ash, and evaluation of their thermal conductivity properties. These tasks are in line with the objectives of the ISO 50001 standard to improve energy efficiency and reduce environmental impact. The results showed that the addition of fly ash from Astana to polystyrene concrete leads to a marked reduction in thermal conductivity, contributing to improved energy efficiency of the building envelope. Optimal results were achieved by using 15% of Astana fly ash as an additive in polystyrene concrete, which led to a significant reduction in thermal conductivity of 51.47%. This reduction is in line with improving the energy efficiency of building materials, especially in cold climates.