The current goal of the European Commission, which aims to reduce CO2 by 90% compared to values estimated in 1980, and the ever-increasing sensitivity to environmental sustainability, fully involve the construction sector, which, according to the OECD (Organization for Economic Co-Operation and Development) is responsible for over one-third of the world’s energy requirement. In this frame, numerous researchers and companies are focusing on ecologically sustainable building materials, to be used in new and existing buildings, that are able to simultaneously fulfill the constructive function and improve the energy behavior of the building envelope. The goal of the present paper is the analysis of the energy performance of some innovative locally produced natural building materials (timber, sheep wool, rammed earth, lime-based plaster, natural fibers) used in multilayer vertical closures, compared to that of more common building materials (bricks, concrete, synthetic insulation). First, the physical-mechanical characterization of the local natural materials was carried out, then the model of a building was implemented, whose energetic performance was simulated by varying the type of stratigraphy of the walls, including the use of both innovative and common materials. The building chosen for the simulation consists of one of the BESTEST ANSI/ASHRAE reported in the 140-2017 standard using the climatic data of the Mediterranean area. The results of the simulation have been presented and discussed.