Energy‐efficient building materials are eye‐catching for reducing indoor energy consumption via eliminating electromagnetic interference and pollution, controlling the thermal transfer, and promoting sunlight harvesting and providing a comfortable living environment. To realize broadband microwave shielding, the elaborate control of microstructures has showed great potential and research direction. By composition regulation and structure design with various dimension, the synergistic effects including conductive networks, interfacial polarization, magnetic coupling, dipole polarization, and dielectric‐magnetic synergy, can significantly improve electromagnetic (EM) shielding capacity. Thermal management including thermal conversion, thermal storage, thermal radiation, and thermal conduction has enormous potential in enhancing the sustainability and energy efficiency for future buildings. Smart windows are able to switch optical transmittance and colors, which is contributed to saving building energy. Herein, in this review, the recent progress of broadband shielding, thermal management, and smart window in the field of energy‐efficient buildings is summarized, from the aspects of materials, mechanisms, and scenarios. Further, the main bottlenecks and problems are discussed, and potential research opportunities are further highlighted.