Within the context of climate change and the environmental impact of the building industry, insulation materials contribute to improving the thermal performance of buildings, thus reducing energy demand and carbon emissions during the operation phase. Although most of them are responsible for significant carbon emissions during their production, bio-based insulation materials can provide good performance with low carbon emissions. This paper aims to investigate natural insulation materials’ properties and environmental impacts through a literature review. Due to the growing importance of Environmental Product Declarations (EPDs) on specification requirements, many manufacturers already disclose environmental data related to their products, allowing for a comparison between thermal insulation solutions. In academic research, embodied environmental impacts are not as explored as physical properties. In addition, from the analysis of results, it is possible to conclude that the characterization of the physical properties of this type of material is normally focused on thermal conductivity. Nevertheless, most studies overlook other important parameters of these materials, such as the thermal capacity, lifetime, and environmental impacts. This is something that is necessary to overcome in future developments to allow for a comprehensive comparison between the properties of different (conventional and bio-based) insulation materials.