Thermal mortars incorporating insulating aggregates are a possible solution to ensure good thermal performance and thermal comfort in buildings due to their low thermal conductivity coefficient. Under some circumstances, namely for particular in-service conditions in industrial applications and/or accidental actions (such as fire), it is important to quantify the retention of their properties after exposure to elevated temperatures, however this information is not yet available in the literature. This study aims to characterize the physical and mechanical behavior of thermal mortars incorporating expanded clay, granulated expanded cork and silica aerogel as aggregates after exposure to elevated temperatures. To this end, five types of mortars were produced in laboratory conditions—three thermal mortars, one reference sand mortar and one sand mortar with admixtures—and then exposed to different elevated temperatures (from 20 °C to 250 °C) in a thermal chamber. After thermal exposure, the following properties were assessed: bulk density; ultrasonic pulse velocity; dynamic elasticity modulus; dynamic shear modulus; Poisson coefficient; compressive strength; and thermal conductivity. The results obtained show that residual properties present a very high dependence on the reactions that take place in the cement paste when the mortars are exposed to elevated temperatures. After such exposure, all mortars with thermal insulating aggregates were able to maintain their insulating characteristics, but experienced internal damage and degradation of their mechanical properties. Results obtained also showed that insulating aggregates allowed to produce mortars with higher aggregate-cement paste compatibility at elevated temperatures compared to conventional mortars, resulting in less micro-cracking of the mortar, and leading to lower reductions in thermal conductivity with increasing temperature.