The aim of this paper is to propose ecological thermal insulation materials that meet the goals of sustainability but also fulfill the imposed thermal performance requirements. This paper studies new composite materials based on sheep wool from the perspective of thermal conductivity. The composites were prepared using two types of binder: acrylic-polyurethane resin and natural rubber latex, which were applied to the wool fibres through different methods and percentages. Based on the obtained results of thermal conductivity, two types of samples were selected for further analysis, which aimed to determine the microstructure, chemical composition, water absorption, attack of microorganisms, water vapour permeability, hygrothermal adsorption characteristics and sound absorption of the samples. In order to analyse the variation of thermal conductivity, the following parameters were taken into account: thickness, density, type of binder and percentage of binder. Following the obtained results, it was observed that the value of the thermal conductivity of the samples varies between 0.0324 and 0.0436 W/mK. It was found that all the samples prepared and analysed in this study fulfil the national criteria for the thermal performance of thermal insulation material. After conducting the in-depth analysis of the two selected sample types, it was concluded that both materials have good sound absorption characteristics over the considered frequency range. In addition, as it was expected from the natural fibres, the samples had low resistance against the attack of microorganisms and water-related tests.