The European Climate Law mandates a 55% reduction in CO2 emissions by 2030, intending to achieve climate neutrality by 2050. To meet these targets, there is a strong focus on reducing energy consumption in buildings, particularly for heating and cooling, which are the primary drivers of energy use and greenhouse gas emissions. As a result, the demand for energy-efficient and sustainable buildings is increasing, and thermal insulation plays a crucial role in minimizing energy consumption for both winter heating and summer cooling. This review explores the historical development of thermal insulation materials, beginning with natural options such as straw, wool, and clay, progressing to materials like cork, asbestos, and mineral wool, and culminating in synthetic insulators such as fiberglass and polystyrene. The review also examines innovative materials like polyurethane foam, vacuum insulation panels, and cement foams enhanced with phase change materials. Additionally, it highlights the renewed interest in environmentally friendly materials like cellulose, hemp, and sheep wool. The current challenges in developing sustainable, high-performance building solutions are discussed, including the implementation of the 6R principles for insulating materials. Finally, the review not only traces the historical evolution of insulation materials but also provides various classifications and summarizes emerging aspects in the field.