Energy efficiency is currently a hot topic in engineering due to the monetary and environmental benefits it brings. One aspect of energy efficiency in particular, the prediction of thermal loads (specifically heating and cooling), plays a significant role in reducing the costs associated with energy use and in minimising the risks associated with climate change. Recently, data-driven approaches, such as artificial intelligence (AI) and machine learning (ML) techniques, have provided cost-effective and high-quality solutions for solving energy efficiency problems. This research investigates various ML methods for predicting energy efficiency in buildings, with a particular emphasis on heating and cooling loads. The review includes many ML techniques, including ensemble learning, support vector machines (SVM), artificial neural networks (ANN), statistical models, and probabilistic models. Existing studies are analysed and compared in terms of new criteria, including the datasets used, the associated platforms, and, more importantly, the interpretability of the models generated. The results show that, despite the problem under investigation being studied using a range of ML techniques, few have focused on developing interpretable classifiers that can be exploited by stakeholders to support the design of energy-efficient residential buildings for climate impact minimisation. Further research in this area is required.