This paper evaluates the influence of dolomite industrial waste (dolomite powder (DP) on the properties, structure and durability of clay bricks. Four clay samples fired at 900 °C and 1000 °C containing 0 wt%, 10 wt%, 20 wt% and 30 wt% DP were prepared and investigated to measure their properties (shrinkage, bulk density, water absorption, thermal conductivity, apparent porosity, compressive strength), structure and durability (compressive strength after freeze thaw). The results showed a decrease in bulk density, compressive strength and an increase in apparent porosity and water absorption of the clay bricks produced by mixing 70–90 wt% clay and 10–30 wt% DP compared to the control bricks. Also, a significant improvement in the thermal conductivity of clay bricks produced by 70 wt% clay and 30 wt% DP (0.407–0.420 W/(m⋅K) compared to the control clay bricks (0.839–0.845 W/(m⋅K). As clay mixtures contain DP (chemical composition: CaO-49.68%, Loi-42.80%), CO2 emissions during the firing process are increased (decarbonation reactions). However, the thermal conductivity of the fired clay bricks is significantly reduced (to 50%). These results showed the potential of DP for the manufacturing of clay masonry units.