The building envelope plays a decisive role in advancing sustainable development by directly governing operational energy demand. This systematic review assesses the environmental impacts of walls, windows, doors, and roofs across various climate zones, with a focus on energy reduction and efficiency improvements. A structured Google Scholar search identified 214 peer-reviewed studies published between 2015 and 2024, from which physical and thermal data were extracted, critically appraised, and synthesized. Findings reveal that advanced wall insulation technologies, including phase-change materials and living walls, can reduce heat transfer by up to 40%. Similarly, window-to-wall ratios of 0.30–0.45, when combined with low-emissivity glazing (U < 1.5 W m⁻² K⁻¹), reduce whole-building energy use by 12.16% and conductive heat gains by 30%. Moreover, well-sealed multilayer doors significantly minimize infiltration losses and enhance indoor comfort. Roof innovations also prove effective: in hot–arid climates, green roofs attenuate heat flux by 87%, while cool roofs lower summer cooling loads by 10–15%. Taken together, optimizing envelope components reduces operational energy consumption by a broad range of 2.73–65.27%, aligning closely with the Paris Agreement's carbon-reduction targets. Remaining gaps include adaptive window shading, performance of green roofs in cold climates, and the integration of Construction 4.0 technologies, which together highlight a clear roadmap for maximizing future building energy performance and sustainability.