Natural air ventilation in the hot‐dry regions plays a key role to decrease indoor air temperature in hot season, also to improve thermal comfort during the cold season. One of the most common ways to take advantage of natural ventilation is using wind catcher with an underground tunnel. In this method, the tower catches the airflow and directs it to the underground tunnel to decrease the air temperature by transferring heat to the ground, which is cooler in the summer and warmer in the winter. Earth‐to‐air heat exchanger (EAHE) is a modern form of wind catcher with underground tunnel. In this method, air after passing through buried pipes exchanges heat with the ground, and its temperature increases in the winter and decreases during the summer. This study analyzes the energy performance and cost‐effectiveness of earth‐to‐air heat exchanger to be utilized in a residential building in climate condition of the province of Kermanin Iran. In this regard, 9 different configurations of the EAHE are investigated to find the optimized EAHE. The system performance and cost‐effectiveness are studied in 3 different depths including 1, 2, and 3 m with 3 different pipe lengths including 25, 50, and 75 m. The results show that the EAHE is capable of reducing the inlet air temperature by 0.5‐9.9℃ in the summer and increasing it by 0.9‐11.2℃ in the winter. Furthermore, by integrating the EAHEs in a building design, one can reduce the total annual cooling load by 1.25%‐3.97% and for heating by 1.34%‐3.96%. The payback period of the system with a pipe length of 25 m is 16 years, but for the systems with pipe lengths of 50 and 75 m, this period reduces to almost 3 years.