In order to maintain the quality of construction for nearly zero energy buildings and to reduce the pressure on construction workers with the addition of the need for faster and simpler structures, the use of cavity-insulated LSF (lightweight steel frame) panels is increasing. Requirements for performance quality, quality of life, and low energy consumption have led to the need for closer examination of heat transfer through building elements. Due to the impact on increased heat losses, thermal bridges can cause structural damage due to the increased risk of water vapor condensation on the interior surface. In this paper, numerical heat transfer analysis with the optimization of thermal bridges for LSF cavity insulated walls was made in order to reduce the overall transmission heat losses. The effects of different cavity insulation materials (mineral wool and polyurethane foam) on overall heat transferred through the building elements were analyzed. Additionally, in order to reduce the effect of thermal bridges caused by the steel frame structure, the PVC spacers between the steel and sheathing panels are introduced into calculation models. Lastly, additional layers of insulation were added on the internal and external sides of the LFS panels in order to minimize the effect of thermal bridges and maximize air tightness. Combinations of all three setups were made for wall–window, ceiling–wall, wall–floor joints for the numerical calculation. For each setup, the temperature distribution and overall heat transferred through the building elements were calculated. Different thermal bridge designs have a significant influence on the overall heat transfer, and by choosing the optimal design, the transmission heat losses can be reduced by up to 67%.