This study investigates a sustainable coating method for modified expanded polystyrene (MEPS) beads to improve the thermal insulation of lightweight concrete intended for wall application. The method employed in this study is based on a novel coating technique that represents a significant advancement in modifying Expanded Polystyrene (EPS) beads for enhanced lightweight concrete. This study experimentally assessed the energy-saving capabilities of MEPS concrete in comparison to control groups of uncoated EPS beads and normal concrete by analysing early-stage temperature, thermal conductivity, specific heat capacity, heat flux, and thermal diffusivity. The thermal conductivity of MEPS concrete is approximately 40% lower than that of normal concrete, demonstrating its usefulness in enhancing insulation. The heat flux calculated for MEPS concrete is significantly reduced (approximately 35%), and it has a 20% lower specific heat capacity than ordinary concrete, indicating a reduction in energy transfer through the material and, thus, potential energy-efficiency benefits. Furthermore, the study discovered that all test objects have very low thermal diffusivity values (less than 0.5 × 10−6 m2/s), indicating a slower heat transport through the material. The sustainable coating method utilized fly ash-enhanced thermal efficiency and employed recycled materials, hence decreasing the environmental impact. MEPS concrete provides a practical option for creating sustainable and comfortable buildings through the promotion of energy-efficient wall construction. Concrete incorporating coated EPS can be a viable option for constructing walls where there is a need to balance structural integrity and adequate insulation.