With increasing mean and extreme temperatures due to climate change, it becomes necessary to use—not only future typical conditions—but future heatwaves in building thermal simulations as well. Future typical weather files are widespread, but few researchers have put together methodologies to reproduce future extreme conditions. Furthermore, climate uncertainties need to be considered and it is often difficult due to the lack of data accessibility. In this article, we propose a methodology to re-assemble future weather files—ready-to-use for building simulations—using data from the European Coordinated Regional Downscaling Experiment (EURO-CORDEX) dynamically downscaled regional climate multi-year projections. It is the first time that this database is used to assemble weather files for building simulations because of its recent availability. Two types of future weather files are produced: typical weather years (TWY) and heatwave events (HWE). Combined together, they can be used to fully assess building resilience to overheating in future climate conditions. A case study building in Paris is modelled to compare the impact of the different weather files on the indoor operative temperature of the building. The results confirm that it is better to use multiple types of future weather files, climate models, and or scenarios to fully grasp climate projection uncertainties.