Sustainable construction practices rely on carefully selecting building materials and balancing environmental and economic considerations. This study examines the complex link between local climate, market dynamics, and building material selection. Market data analysis, parametric modeling, and brute‐force optimization are used to provide insights into construction decision‐making. Across 5540 simulations, a thorough assessment of the financial and energy performance of various materials for walls, roofs, windows, and floors is conducted. Incorporating Pareto ranking, parallel simulation, and sensitivity analysis, the comprehensive evaluation reveals the intricate tradeoffs between cost, thermal properties, and energy savings. The findings highlight the potential for optimal external wall solutions to reduce U‐values by up to 30% and achieve source energy savings of up to 25% source energy savings across diverse climates. By emphasizing the importance of local context in material selection, this study highlights how energy consumption patterns and transmission losses influence financial and energy performance, thus advancing sustainable construction practices.