Sandwich panels comprising prefabricated ultra-high performance concrete (UHPC) composites can be used as ecofriendly and multi-functional structural elements. To improve the structural and thermal performance of composite sandwich panels, combinations of UHPC and expanded polystyrene (EPS) beads were investigated. High-performance expanded polystyrene concrete (HPEPC) was tested with various EPS bulk ratios to determine the suitability of the mechanical properties for use as a high-strength lightweight aggregate concrete. As a core material in composite sandwich panels, the mechanical properties of HPEPC were compared with those of EPS mortar. The compressive strength of HPEPC is approximately eight times greater than that of EPS mortar, and the thermal conductivity of approximately a quarter that of EPS mortar. The structural behavior of composite sandwich panels was empirically analyzed using different combinations of cores, face sheets, and adhesive materials. In the flatwise and edgewise compression tests, sandwich panels with HPEPC cores had high peak strengths, irrespective of the type of face sheets, as opposed to the specimens with EPS mortar cores. In the four-point bending tests, the sandwich panels with HPEPC cores, or reinforced UHPC face sheets combined with adhesive mortar, exhibited higher peak strengths than the other specimens, and failed in a stable manner, without delamination.