Interior thermal insulation has been widely used to improve energy efficiency and indoor comfort of historic buildings. However, traditional vapour-tight insulation materials strongly influence the hygrothermal behaviour of facades, which may lead to moisture-related problems. Capillary-active insulation aims to enhance moisture permeance, ensuring the hygrothermal response of the masonry wall is more aligned with that of an uninsulated wall. While some capillary-active systems have proven their efficiency, global climate change and extreme weather conditions introduce additional uncertainties. This study investigates this specific issue. The hygrothermal responses of three massive masonry walls — one with vapour-tight insulation, one with capillary-active insulation, and one uninsulated — are monitored and simulated under real climate conditions in Leuven, Belgium. The simulations, conducted in DELPHIN 6 with monitored climate datasets as boundary conditions, are validated using measured temperature and relative humidity. The validated model is subsequently used with one current and two future climate datasets to compare the impacts of vapour-tight and capillary-active insulation on the hygrothermal behaviours of the masonry walls under climate change. The former exhibited more serious moisture-related risks, offering only marginally better energy performance, while the latter showed a similar hygrothermal behaviour to the uninsulated wall. Exterior climates significantly influence hygrothermal responses: both insulation systems inevitably increase mould growth and frost damage risks, though moisture failures are reduced in warmer outdoor environments. This paper highlights the nuanced balance between energy efficiency and moisture safety for researchers and practitioners.