Thermal management plays a key role in improving the energy efficiency and sustainability of future building envelopes. Here, we focus on the materials perspective and discuss the fundamental needs, current status, and future opportunities for thermal management of buildings. First, we identify the primary considerations and evaluation criteria for high-performance thermal materials. Second, state-of-the-art thermal materials are reviewed, ranging from conventional thermal insulating fiberglass, mineral wool, cellulose, and foams, to aerogels and mesoporous structures, as well as multifunctional thermal management materials. Further, recent progress on passive regulation and thermal energy storage systems are discussed, including sensible heat storage, phase change materials, and radiative cooling. Moreover, we discuss the emerging materials systems with tunable thermal and other physical properties that could potentially enable dynamic and interactive thermal management solutions for future buildings. Finally, we discuss the recent progress in theory and computational design from first-principles atomistic theory, molecular dynamics, to multiscale simulations and machine learning. We expect the rational design that combines data-driven computation and multiscale experiments could bridge the materials properties from microscopic to macroscopic scales and provide new opportunities in improving energy efficiency and enabling adaptive implementation per customized demand for future buildings.