In Europe, the recent application of regulations oriented to zero-energy buildings and climate neutrality in 2050 has led to a reduction in energy consumption for heating and cooling in the construction sector. The thermal insulation of the building envelope plays a key role in this process and the requirements about the maximum allowable thermal transmittance are defined by country-specific guidelines. Typically, high insulation values provide low energy consumption for heating, however, they may paradoxically imply the risk of overheating in summer period and thus negatively affect the overall performance of the building. In addition, the embodied energy and related emissions caused by the manufacturing and transportation processes of thermal insulation cannot be further neglected in the evaluation of the best optimal solution. Therefore, this paper aims to evaluate the influence in terms of embodied and operational energy of various walls’ thermal insulation thicknesses on residential buildings in Europe. To this end, the EnergyPlus engine was used for the energy simulation within Ladybug & Honeybee tools, by parametrically conducting multiple iterations; 53 variations of external wall U-value, considering high and low thermal mass scenarios, were simulated for 100 reference cities of the European context, using a representative multifamily building as a reference. The results demonstrate that massive walls generally perform better than lightweight structures and, of course, the best solution in terms of energy varies according to each climate. The optimal values are graphically reported on the map of Europe according to specific climatic features, providing a guidance for new constructions and building retrofit.