Many correlated oxides feature an insulator-to-metal transition as the temperature is increased. In thin films, this transition can be electrically induced by localized Joule heating, resulting in volatile resistive switching. Considering the importance of thermal effects, the thermal conductivity of the underlying substrate is expected to play a key role. Despite this, its influence has not been experimentally explored. Here, we compare the resistive switching of VO₂ films grown on two substrates with very different thermal conductivities k: sapphire [k ∼ 50 W/(m K)] and mica [k ∼ 0.5 W/(m K)]. While the overall features of the electrical switching are similar, the VO₂−mica devices need around one order of magnitude less power to be switched, and their switching time is shorter. This can be understood by the improved thermal insulation offered by the substrate, which keeps the heat within the film. Our work shows that thermal insulators, such as mica, are a promising platform for energy-efficient volatile resistive switching.