The use of natural-based exterior thermal insulation systems constitutes a significant challenge for achieving energy efficiency of construction. The purpose of this article is to propose new exterior thermal insulation solutions based on natural materials such as wood wool, cellulose wadding, expanded cork, hemp fiber, and sheep’s wool, in order to minimize energy consumption, address durability concerns, maintain thermal comfort, and promote the use of natural materials in thermal insulation system designs. The methodology followed consists of presenting a comparative numerical study of different exterior insulation techniques (ETI) using a dynamic thermal simulator for desert regions. The study evaluated ETI systems for vertical walls attached to a concrete block wall, including one EPS system with coating (wet process) and six systems with cladding (dry process). The results show that applying exterior insulation to walls using the two cladding systems based on hemp fiber and sheep wool resulted in a total reduction in building energy consumption of 42.21% and 42.81%, respectively. These results confirm the effectiveness of natural materials in improving the energy performance of buildings, particularly the system based on sheep wool.