In order to study the heat and moisture coupling transfer law of self-insulated block wall, the composite self-insulated block wall of the current mainstream construction type is compared with the externally insulated wall of the same thickness. Taking Baoding City, a cold region, as an example, simulation calculations were carried out through numerical software to analyse the heat and moisture coupling transfer process inside the wall under the natural environment. The simulation results show that the thermal insulation effect of the self-insulated block wall is better than that of the externally insulated wall. Under summer conditions, the wall has a low risk of moisture, and there is no risk of mould growth and condensation. In winter conditions, the internal moisture risk of self-insulated block walls is higher than that of externally insulated walls. The maximum values of internal relative humidity of core-filled self-insulating block walls, sandwich self-insulating block walls, and externally insulated walls were 73.9%, 92.1%, and 68.6%, respectively. Due to the existence of cavity inside the sandwich self-insulating block makes its moisture transfer resistance reduced, the moisture accumulation is obvious and the risk of mould is larger, it is difficult to ensure the long-term stability and thermal insulation performance of the wall. The core-filled self-insulating block has better applicability, which is conducive to reducing the heat and humidity load of the building and lowering the energy consumption level of the building.