Energy efficiency in buildings requires adequate materials for thermal insulation. Given the enormous number of buildings worldwide needing a retrofit to improve their energy efficiency, it is of capital importance to identify materials suitable for sustainable thermal insulation. Among the many available insulators, polyurethanes occupy a preeminent role, given their versatility and effectiveness, and are thus expected to be extensively used in retrofitting buildings for improving their energy efficiency. Herein, the currently available bio‐derived or recyclable polyurethane‐based composites, considering them as either foams (i.e., with gaseous filler) or fully solid (i.e., with solid filler) composites, are assessed. The first section of the review is devoted to bioderived PUs as matrices for thermally insulating composites; the second section focuses on bio‐derived/recyclable fillers adopted with PUs as matrices, with specific reference to silica‐based aerogels. The main issues of the surveyed bio‐based composites are analyzed, and the future prospects of these materials, that are actually sustainable but at the same time performance effective, are discussed.