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Current standards for the detection methods for the thermal resistance of exterior walls of buildings have shortcomings, such as strict conditions, high time consumption, and heavy workloads. To overcome the shortcomings of existing methods, in this study, an artificial neural network identification method was used to detect the thermal resistance of exterior walls. To enhance efficiency and reduce costs, the data required by the neural network modelling were obtained through a numerical experiment based on an unsteady heat transfer model. In this paper, the thermal resistance identification results of three neural networks—Back Propagation (BP), Radial Basis Function (RBF) and Generalized Regression Neural Network (GRNN)—were analysed and compared. The results demonstrated that the GRNN neural network had the best identification effect. Thus, the identification system for the thermal resistance of exterior walls was established using the GRNN neural network. The average test error in the training sample was 0.098%, and the average error in the anti-noise test was 4.82%. The network identification accuracy was verified by five groups of field measured data. In comparison with the conventional heat flux method, the average error was 5.82%, which proved the reliability of the proposed GRNN identification model.