Worldwide, the need for thermal insulation materials used to increase the energy performance of buildings and ensure indoor thermal comfort is constantly growing. There are several traditional, well-known and frequently used thermal insulation materials on the building materials market, but there is a growing trend towards innovative materials based on agro-industrial waste. This paper analyses the performance of 10 such innovative thermal insulation materials obtained by recycling cellulosic and/or animal waste, using standardised testing methods. More precisely, thermal insulation materials based on the following raw materials were analysed: cellulose acetate, cigarette filter manufacturing waste; cellulose acetate, cigarette filter manufacturing waste and cigarette paper waste; cellulose acetate, waste from cigarette filter manufacturing, waste cigarette paper and waste aluminised paper; cellulose from waste paper (two types made by two independent manufacturers); wood fibres; cellulose from cardboard waste; cellulose from waste cardboard, poor processing, inhomogeneous product; rice husk waste and composite based on sheep wool, recycled PET fibres and cellulosic fibres for the textile industry. The analysis followed the performance in terms of thermal insulating quality, evidenced by the thermal conductivity coefficient (used as a measurable indicator) determined for both dry and conditioned material at 50% RH, in several density variants, simulating the subsidence under its own weight or under various possible stresses arising in use. The results showed in most cases that an increase in material density has beneficial effects by reducing the coefficient of thermal conductivity, but exceptions were also reported. In conjunction with this parameter, the analysis of the 10 types of materials also looked at their moisture sorption/desorption capacity (using as a measurable indicator the amount of water stored by the material), concluding that, although they have a capacity to regulate the humidity of the indoor air, under low RH conditions the water loss is not complete, leaving a residual quantity of material that could favour the development of mould. Therefore, the impact on indoor air quality was also analysed by assessing the risk of mould growth (using as a measurable indicator the class and performance category of the material in terms of nutrient content conducive to the growth of microorganisms) under high humidity conditions but also the resistance to the action of two commonly encountered moulds, Aspergillus niger and Penicillium notatum. The results showed a relative resistance to the action of microbiological factors, indicating however the need for intensified biocidal treatment.