<p>Thermal insulation materials, as an important component of the external wall insulation system, play a crucial role in energy conservation in high-rise buildings. However, these materials are highly flammable, which has led to numerous fire accidents. Therefore, it is necessary to study the fire risk of thermal insulation materials. The combustion performances of three commonly used materials, namely expanded polystyrene (EPS), extruded polystyrene (XPS) and polyurethane (PU), were measured through cone calorimeter experiments. Subsequently, the entropy method was employed to quantitatively assess the fire risk of the three insulation materials, and the fuzzy cluster analysis method was used to classify the 17 parameters that characterized fire hazards. The results showed that EPS and XPS had similar combustion characteristics, which were different from those of PU. The comprehensive index values of EPS, XPS, and PU evaluated by the entropy method were 0.11–0.15, 0.32–0.71, and 0.14–0.57, respectively. It indicated that EPS had the lowest fire hazard, XPS had the highest fire risk, and the fire risk of PU was between EPS and XPS. The clustering analysis results indicated that there were a total of 14 thresholds representing fire risk, corresponding to 14 distinct scenarios. Under each determined threshold condition, correlations could be established between these parameters, including both differences and similarities. This study can provide a basis for the selection of building insulation materials and a reference for the classification of material parameters.</p>