Growing global environmental problems force us to think about their impact and search for ways to protect the environment. While the construction industry and the production of construction materials contribute to environmental pollution, they also offer great potential for addressing many environmental problems. Important opportunities exist in the use and processing of a whole host of industrial and construction waste and in the use of mineral resources. Among such mineral resources is magnesite, whose deposits in Slovakia are abundant. The current sustainability trends impose strict requirements on construction materials and products, favoring solutions with sufficient ecological and efficiency performance characteristics. With this focus on efficient and sustainable solutions in mind, the objective of this research was to analyze magnesium oxide construction boards, as they are the most commonly used construction product based on MgO. The specific MgO-based boards that were studied were applied in selected constructions built using the so-called dry method of construction and were compared with traditional material solutions. The research methodology is based on an analysis of computational models of the proposed variants to determine selected thermal-technical parameters. The analyses of external and interior structures presented in this work suggest that when boards based on MgO and traditional materials are used for coating constructions built using the dry method of construction, the former provide certain benefits in terms of energy accumulation, improving living comfort, and in terms of the fire resistance of constructions, improving overall safety. The conclusion of the presented article is devoted to discussions with works that addressed various perspectives on the application of MgO in the field of materials research. The findings from this analysis are beneficial especially in terms of expanding the knowledge in the area.