This study focuses on energy conservation, reducing the amount of energy consumed to heat a room, and decreasing the intensity of carbon emissions. The research object is a room heated by a floor with a built-in finned Trombe wall (TW) located in Lanzhou, Gansu Province. ANSYS software was employed to conduct a simulation study on parameters such as fin height, transverse spacing, longitudinal spacing, arrangement mode, and fin apex angle. The simulation results were used to determine the fin parameters’ thermal impact on the TW’s thermal performance, including with respect to a room’s thermal environment (TE). The results show that the heat transfer performance of a TW with respect to the thermal environment of a room is the greatest when the height of the heat-absorbing surface is 20 mm, the transverse spacing is 0.20 m, the longitudinal spacing is 0.533 m, and in-line 90° top-angle fins, that is, isosceles right triangle fins, are used. The average Nu number of the fin-type TW is 154.75. Compared with the average Nu number of the finless TW, which is 141.43, the average Nu number increases by 13.32 due to the addition of fins. The optimized fin-type TW has 7.77% higher convective heat supply efficiency than the finless TW. Although the PMV-PPD results of the two TW-type rooms are not very different, the comfort period of the fin-type TW room is longer. At the same time, the LPD3 of the non-finned TW and the finned TW rooms is less than 10%, the wind speed at the head and ankle is less than 0.12 m/s, the air gust sensation is not strong, and the thermal comfort is good, indicating that the addition of fins is beneficial to the improvement of indoor thermal comfort. Compared to standard rooms, finless TW rooms and fin-type TW rooms have energy-saving rates of 36.38% and 44.63%, respectively. Thus, fin-type TW rooms’ energy saving rate is 8.25% higher, resulting in effective savings in heating energy consumption. Therefore, the indoor TE and auxiliary heating conditions are improved, and the integration of solar building technology can be facilitated, which offers significant reference value for energy transformation.