The choice of building materials plays a key role in reducing energy consumption. The study provided a new methodology for designing high-performance curtain walls and floors using multi-objective optimization analysis for different climates. Multi-objective analysis is the key to achieve different types of solutions, i.e., high-efficiency exterior walls and floors, through the combination of several materials. In this regard, a list of building materials was created, considering their thermal properties, costs, and sustainability scores. The optimal solution is the best compromise between objectives and constraints imposed on the problem. The goal was to determine not a single optimal solution, but a set of solutions that are highly performing from a thermal, economic, and environmental point of view, favouring sustainable materials.