To improve the construction efficiency of building envelope and solve the long-term problems of falling off and ignition of traditional external insulation systems, a kind of rock wool composite insulation external formwork (RWCIEF) system integrating insulation and building formwork was proposed. The RWCIEF structure from inside to outside was designed as follows: inner reinforcing layer, rock wool insulation core material, adhesive layer, insulation transition layer, and outer reinforcing layer. Taking Harbin as an example, the optimal thickness of rock wool insulation core material was determined based on the life cycle cost (C_lc). The feasibility of RWCIEF in engineering was explored by combining finite element analysis with theoretical calculation. The bending properties, construction bearing capacity, and stress and deformation under temperature effect of RWCIEF were calculated and analyzed. The influences of groove form, groove width, groove depth, and groove spacing on the bending properties of RWCIEF were discussed. Results showed that the theoretical calculation results of bending properties of RWCIEF were in good agreement with the finite element analysis results. The grooving treatment effectively improved the bending properties of RWCIEF. Considering the bending properties, thermal characteristics, and processing angle, groove forms of symmetrical cross grooves or symmetrical longitudinal grooves were suggested, with the groove depth and width of 10 mm and the groove spacing of 150 mm. The designed RWCIEF met the construction bearing capacity and could fully guarantee the construction quality of the thermal insulation works of the outer enclosure structure. The maximum tensile stress and compressive stress caused by temperature effect did not exceed the bearing capacity of the outer reinforcing layer of RWCIEF, which indicates that RWCIEF is unlikely to hollow in summer or crack in winter. The proposed RWCIEF system can provide a new idea and method for the future research directions of exterior envelope insulation and building formwork engineering.