A skylight assembly includes a curb which supports the skylight above the roof surface. The curb is formed from four mechanically connected structural insulated panels. The panels include an outer fastener-receiving member such as OSB with an intermediate polystyrene foam layer and an innermost melamine layer. The curb is assembled on site and fastened to the roof structure with brackets. The melamine surface provides a finished interior surface and the curb itself provides thermal insulation.
