Insulation performance and buried depth of heating pipelines are the vital factors affecting the energy loss of directly buried heating pipelines. This study considers the thermo-economic assessment of insulation of directly buried heating pipelines for district heating. The optimal insulation thickness, energy-saving effect, and payback period of district heating pipelines with five nominal pipe diameters, four fuel types, four kinds of insulation materials, and four buried depths are calculated. A numerical code is developed based on Life Cycle Cost Analysis and is validated via comparing with results in the open literature. Three representative cities of Xi’an, Shenyang, and Harbin subjected to three different climatic zones in China are explored. The highest values of optimum insulation thickness are 176, 153, and 121 mm in Harbin, Shenyang, and Xi’an, respectively, which are reached using oil as fuel, rock wool as insulation material, nominal pipe diameter 500 mm, and buried depth 1 m. A sensitivity analysis is performed to indicate how much the optimum insulation thickness and payback period are sensitive to the changes of insulation, fuel, and buried depth. The results show that insulation and fuel have a greater influence on the optimum insulation and payback period than the buried depth.