Straw is an environmentally friendly, cost-effective, and abundant raw material for building boards. To assess the feasibility of using straw boards in building envelops, such as being alternative sheathing panels in light-gauge steel-framed members, for instance, walls and floors, both the mechanical and thermal properties of straw boards with high densities were investigated. The straw boards involved in this study include five wheat straw strand boards (WSSB12, WSSB15, WSSB18, WSSB25, and WSSB30) and a paper straw board (PSB58) named with a combination of the respective board type and thickness. Among them, the WSSBs are a type of straw composite, while the PSB is an improved straw bale with sheathing paper, which is mainly for enhancing the board integrality. Moreover, the former is composed of smashed straw fibers and isocyanate resin and has higher densities, while the latter is without using any artificial binders. Mechanical properties, including compression, tension, and bending properties, were investigated by tests and a proposed prediction method of tensile strength. In the experimental studies of compression properties, the failure modes, characteristics of load-deformation curves, and the differences in material directivity were analyzed and discussed. The results show that the WSSBs were considered to be transverse isotropic material with brittle characteristics in the plane. Then, the experimental studies of bending properties were carried out, and the results show that the bending strength is less than the compressive strength for WSSBs, while the bending strength of PSB is greater than its compressive strength. And the bending elastic modulus and the compression elastic modulus are close for either the WSSBs or the PSB. Furthermore, finite element models of the bending test specimens using the user material subroutine UMAT were developed to predict the tensile strength ft, and the constraint checks were conducted. It is verified that the prediction results of ft are believable, and the prediction method proposed is feasible. For the thermal properties of straw boards, tests were performed using the temperature control box - heat flux meter method, and the thermal conductivity λ was mainly focused. It is found that a significant linear correlation exists between the density ρ and λ, and the proposed fitting formula can be used to predict the thermal conductivities of such materials. Finally, brief comparisons of the mechanical and thermal properties between the straw boards and the oriented strand boards (OSBs) were conducted, and the feasibility of applying straw boards in building envelops, such as alternative sheathing panels with load bearing and insulation demands was verified. This study contributes to popularizing the application of straw boards in engineering structures by a compromising consideration of mechanical and thermal properties, which plays a positive role in the development of green buildings.