Achieving the best energy performance has become an important goal. The European Union has consequently developed legislative measures that introduce the concepts of nearly zero-energy buildings and cost-effectiveness during life-cycle. We use these concepts, looking for the design of energy-efficient wineries, while reducing wine production costs. The research method is based on the monitoring of temperature and humidity of 12 red wine aging rooms of representative construction designs with almost zero energy consumption that together with the economic data obtained from construction cost update, determine a parameter that has been called “construction effectiveness”. This parameter allows the evaluation of the cost–benefit ratio of each of the analyzed constructions. The results obtained demonstrate that adequate conditions can be achieved for the wine aging with zero-energy buildings, although there are notable differences in cost, damping effectiveness, and resulting hygrothermal environment depending on the type of building. The correlation between performance and construction costs shows large differences in cost per unit of damping achieved: 0.5–2.7 €/m2 for temperature and 0.6–5 €/m2 for relative humidity. With a correct design, the differences between typologies can be reduced or even non-existent. The results obtained can be a valuable tool to promote the design of zero-energy warehouses.