The development of zero-energy buildings (ZEBs) is a critical pillar for designing the sustainable cities of the future. Photovoltaics (PVs) play a significant role in the design of ZEBs, especially in cases with fully electrified buildings. The goal of this analysis was to investigate different advanced PVs with integrated cell cooling techniques that can be incorporated into buildings aiming to transform them into ZEBs. Specifically, the examined cooling techniques were radiative PV cells, externally finned PVs and the combination of PVs with phase-change materials. These ideas were compared with the conventional PV design for the climate conditions of Athens, Barcelona, Munich and Stockholm. At every location, two different building typologies, B1 (a five-story building) and B2 (a two-story building), were investigated and the goal was to design zero-energy buildings. In the cases that the roof PVs could not cover the total yearly electrical load, building-integrated photovoltaics (BIPVs) were also added in the south part of every building. It was found that in all the cases, it is possible to design ZEB with the use of roof PVs, except for the cases of B1 buildings in Munich and Stockholm, there is also a need to exploit BIPVs. Moreover, a significant electricity surplus was reported, especially at the warmest locations (Athens and Barcelona). Among the examined cooling techniques, the application of the fins in the back side of the PVs was determined to be the most effective technique, with radiative cooling to follow with a slightly lower performance enhancement. The application of PCM was found to be beneficial only in hot climate conditions.