In the context of global warming, improving energy-use efficiency is an important research topic in the fields of green buildings and eco-cities. There is an indivisible coupling relationship between the urban climate and urban building energy (UBE). Urban wind environments (UWE), including urban thermal and humid environment, is widely believed to have a significant impact on building energy consumption as a key microclimate element. However, despite decades of development of the UWE calculation module in numerical simulation tools, there is still a lack of reviews on the UWE impact mechanism on UBE. In this paper, the mechanisms of UWE influence on building energy consumption, building-scale simulation tools, and city-scale simulation tools, as well as the coupling and validation methods of these tools in the past decades are reviewed. Therefore, this study can provide the necessary foundation and general workflow for building physicists and urban climatologists to simulate and analyze the impact of UWE on UBE. The problem with the current building energy model and urban building energy modelling is that the UWE is not considered comprehensively, and CFD and other methods are used to obtain accurate results. The future challenge is to improve the accuracy of the energy consumption calculation from the perspective of UWE impact, optimize the calculation module, obtain a balance between calculation speed and accuracy, and propose validation and calibration guidelines focused on UWE impact on UBE.