Lignocellulosic biomass (LCB)-based thermal insulation materials available in the market are more expensive than conventional ones and consist mainly of wood or agricultural bast fibers which are primarily used in construction and textile industries. Therefore, it is crucial to develop LCB-based thermal insulation materials from cheap and available raw materials. The study investigates new thermal insulation materials from locally available residues of annual plants like wheat straw, reeds and corn stalks. The treatment of raw materials was performed by mechanical crushing and defibration by steam explosion process. Optimization of thermal conductivity of the obtained loose-fill thermal insulation materials was investigated at different bulk density levels (30–45–60–75–90 kg m−3). The obtained thermal conductivity varies in range of 0.0401–0.0538 W m−1K−1depending on raw material, treatment mode and a target density. The changes of thermal conductivity depending on density were described by the second order polynomial models. In most cases, the optimal thermal conductivity was revealed for the materials with the density of 60 kg m−3. The obtained results suggest the adjustment of density to achieve an optimal thermal conductivity of LCB-based thermal insulation materials. The study also approves the suitability of used annual plants for further investigation towards sustainable LCB-based thermal insulation materials.