The energy-conserving performance of a building, normally realized by a variety of insulation materials, needs to be carefully considered, from the design to construction operations. Traditional mineral or chemically synthesized insulation materials are facing severer environment or health challenges. Hence, this work aims at developing an alternative thermal insulation material from wood. Two species, balsa and Paulownia, were chosen for their naturally low densities. Lignin and hemicellulose components were removed to create a “foamed” structure with more air induced. Polylactic acid (PLA) was applied to cover the delignified wood samples to further improve the hydrophobicity. The microstructure, physical properties, thermal conductivity and insulation properties of the treated wood samples were assessed. After lignin and hemicellulose removal, the original porous micro skeleton of balsa and Paulownia wood was retained, along with an increased porosity to 96.6% and 94%, respectively. Meanwhile, the thermal conductivity was successfully decreased by 22% to 0.053 W/(m·K) for balsa wood and by 27% to 0.067 W/(m·K) for Paulownia wood. PLA-covering treatment further enhanced the water resistance of the delignified wood samples without an evident change in the thermal conductivity. The above findings demonstrated the feasibility of applying delignified wood as a potential insulation material in modern construction operations, which may help set up a new pathway for a low-carbon and energy-saving construction industry.