The research and application of new wall materials have been attracting increasing attention owing to the continuous promotion of sustainable development in the building industry. An alkali-activated slag ceramsite compound insulation block (AASCCIB) is used as the research object. Based on the finite element method, the effects of different numbers of hole rows and hole ratios on the thermal and mechanical performances of AASCCIBs are analyzed using ANSYS CFX. On this basis, the AASCCIB with the optimal comprehensive performance is determined by a multi-objective optimization analysis. Finally, the improvement effect of the AASCCIB wall on the indoor thermal environment relative to an ordinary block (OB) wall is quantitatively analyzed using ANSYS CFX. The results show that the von Mises equivalent stress and heat transfer coefficient of the AASCCIB decrease with the increase in the hole ratio when the hole shape and number of hole rows are constant. has the optimal comprehensive performance among six AASCCIBs, with the heat transfer coefficient and average von Mises equivalent stress of 0.446 W/(m2∙K) and 9.52 MPa, respectively. Compared with the indoor lowest and average temperatures of the building with the OB wall, those of the building with the AASCCIB wall increased by at least 1.39 and 0.82 °C on the winter solstice, respectively. The indoor temperature difference decreased by at least 0.83 °C. In addition, the indoor highest temperature, average temperature, and temperature difference decreased by at least 1.75, 0.79, and 1.89 °C on the summer solstice, respectively.