<p>Utilizing phosphogypsum (PG) to partially replace cement in the production of phosphogypsum-based cementitious materials (PGCMs) represents a significant pathway for PG resource utilization. However, PGCMs employing PG as the sole cement substitute exhibit high water absorption, resulting in poor water resistance and thermal insulation properties. To address this, the present study incorporated hemihydrate phosphogypsum (HPG), fly ash, and quicklime simultaneously during PGCMs preparation to enhance water resistance and thermal insulation. Firstly, orthogonal experiments were employed to investigate the effects of HPG dosage, fly ash dosage, quicklime dosage, and water–cement mass ratio on the water resistance and thermal insulation of PGCMs. Secondly, based on microstructural morphology analysis, the mechanisms by which these factors affect the water resistance and thermal insulation performance of PGCMs were explored. Subsequently, the efficacy coefficient method was adopted to establish regression equations and propose a synergistic optimization approach for balancing the water resistance and thermal insulation characteristics of PGCMs. Results indicate that the primary factors affecting PGCMs water resistance are the water–cement mass ratio and quicklime dosage. Conversely, HPG dosage and water–cement mass ratio are the dominant factors influencing thermal insulation performance. PGCMs exhibited superior comprehensive water resistance and thermal insulation performance with an HPG content of 60%, fly ash content of 50%, quicklime content of 6%, and a water–cement mass ratio of 0.25, achieving a compressive strength of 52.97MPa, a water absorption rate of 10.10%, a softening coefficient of 0.77, and a thermal conductivity of 0.3709W/(m·K). This study aims to theorize PG utilization in construction.</p>