Although pharmacological treatments for insomnia remain widely prescribed, their long-term use is constrained by risks of tolerance, dependence, and residual daytime effects. This has prompted growing interest in non-pharmacological interventions that target insomnia’s underlying mechanisms. This narrative review examines five physical factor therapies for insomnia: auditory stimulation, phototherapy, thermotherapy, electrical stimulation, and magnetic stimulation. They are classified according to their primary sites of action into peripheral sensory modulation, central neuromodulation, or systemic autonomic regulation. In each context, research findings about circadian entrainment, thermoregulatory promotion of falling asleep, attenuation of cortical hyperarousal, and restoration of autonomic balance are discussed. Clinical evidence from randomized controlled trials and meta-analyses is critically appraised, with emphasis on therapeutic efficacy, safety, and limitations. Overall, physical factor therapies may constitute promising adjunctive options for selected insomnia phenotypes, but current evidence remains heterogeneous and preliminary for several modalities. Recent advances in portable and home-based technologies support their feasibility, although long-term effectiveness, adherence, and cost-effectiveness remain to be established. Future research should prioritize larger sham-controlled trials, objective sleep and circadian outcomes, standardized protocols, biomarker-guided stratification, and closed-loop intervention systems.