The construction industry involves some of the activities with the highest consumption of raw materials and significant waste production. According to the European Commission, it requires large quantities of resources, representing approximately 50% of all extracted materials, and accounting for over 35% of the EU’s total waste production. In particular, the production and use of concrete, as well as that of EPS (expanded polystyrene), largely exploited for energy-efficient buildings, involve a substantial amount of extracted raw materials and waste. This study focuses on the development of construction materials, such as lightweight and thermally efficient mortars and concretes, incorporating recycled EPS (R-EPS) instead of fine aggregates. Mixtures were designed by partially or completely replacing the fine aggregate with R-EPS on a volume basis. All designed mortars exhibit compressive strength exceeding the minimum values required by Italian legislation and show thermal performance improvements of up to 89.49% compared to the reference mortar. Similarly, the concretes demonstrate strengths compliant with regulations and exhibit thermal characteristic enhancements, ranging from 27.68% for structural lightweight mixes to 74.58% for non-structural ones.