The thermal behavior of three different walls, made with and without by-products, is assessed by means of the Finite Element Method, aiming to evaluate its performance in terms of the sustainable construction of the blocks. Results were compared to those obtained from an experimental campaign, aiming at validation of the model. The by-products used for the blocks were “lime sludge” and “sawdust”, whose performance was compared against the traditional blocks made of concrete as a reference, aiming to demonstrate its sustainability, showing decreases of the thermal transmittance up to 10.5%. Additionally, following the same methodology, the thermal behavior of these above-mentioned blocks but now with added internal insulation made of “recycled cellulose” was assessed, showing higher decreases up to 25.5%, increasing sustainability by addressing an additional reduction in waste, so the right combination of using by-products and the insulating filler in their cavities has been revealed as a promising way of optimizing the walls, offering a relevant improvement in energy savings. Finally, when comparing the U-values of the blocks made of concrete without insulation versus those made of by-products, with insulation, improvements up to 33.3% were reached. The adaptation of the procedure through a moisture correction factor was also incorporated.