The demand on reducing energy consumption of buildings, recently became tighter and tighter, as well as the need of shortening the building materials’ supply chain. It is generating a growing attention to natural and local construction materials and opening new and interesting research scenarios. The use of novel materials makes necessary reaching a deeper and appropriate understanding of their thermal performances by means of an accurate thermal characterization. The present research has been addressed at testing and verifying the thermal performance of Sardinian local masonry materials (hollow clay blocks and adobe bricks) and three different natural insulations: cork, sheep-wool and reeds. By the use of a dedicated hot box apparatus, working on full-scale wall models, the thermal resistance of eight different samples has been measured and then compared with the theoretical values calculated according to current standards. The results show that the measured values are by far higher than the calculated ones and that the use of local natural materials, if not accompanied by a rigorous standardization of production and installation procedures, can lead to overestimate their thermal performances.