Consumption of natural gas as primary energy source in Italy is increasing during the last years, mainly due to the diffusion of the most modern natural gas-fired combined cycle power plants. As well known, it is quite opportune to increase use of natural gas, mainly in summer, because of the “take-or-pay” contracts that often regulate the energy supply. Electrical energy use instead should be decreased, because of the “peak demand” problem that in Italy has become very urgent. So, for space heating purposes, besides electrically driven heat pumps that achieve good efficiencies, it is quite interesting to consider combustion engine driven heat pumps. In such case, losses attributed to the production and transport of electricity are eliminated and, above all, there is the possibility to use the combustion engine’s heat. The paper reports on an annual economic and energetic analysis of electric and internal combustion engine heat pumps for space heating purposes. Because of the dependency of the performance on the source and sink (heating circuit) temperature levels, the comparison is performed for air-to-water heat pump systems (the widely diffused) in two cases of maximum flow temperatures, in order to consider “low temperature” radiant plants (typical of modern buildings) and “high temperature” radiators (typical of older buildings) in different climates. The calculations show that natural gas-driven heat pumps can achieve about the same efficiency as electrically driven heat pumps powered with electricity from the most modern natural gas-fired combined cycle power plants. The efficiencies of such systems are also compared to that of conventional boiler technologies.