Cavity wall is one of the most common construction types in temperate maritime climates, including the UK. However, water penetration may lead to damp within the structure, freeze-thaw damage at the outer surface and a reduction in thermal resistance. The magnitude of wetting effects on the energy performance of cavity walls is still unclear, with potentially significant implications for climate-change-mitigation strategies. This paper investigates the thermophysical performance of uninsulated and insulated cavity walls and its degradation as the element is wettened. Experiments were performed in a hygrothermal laboratory where two cavity-wall specimens (one of which coated with external waterproofing treatment) were tested under a high wind-driven rain exposure. Changes in the thermophysical performance between dry and wet conditions were evaluated through U-value testing and Bayesian inference. Substantial U-value increase was observed for wet uninsulated specimens (compared to dry conditions); conversely, closer U-value ranges were obtained when insulated with EPS grey beads. Moreover, latent-heat effects through the external masonry leaf of the untreated specimen were predicted by the Bayesian framework. Results suggest a negligible efficacy of waterproofing surface treatments as strategies for the reduction of heat transfer within the element, and possible effects of these agents on the evaporative and drying process.