Coal fly ash (CFA) is a valuable industrial solid waste, but conventional methods used for its disposal can lead to serious and long-lasting environmental issues. The study of technologies for CFA recycling has been of major concern, while the harm caused by CFA is only partially understood, limiting its reuse. In this review, the basic physico-chemical properties of CFA are introduced, followed by a systematic summary and discussion of the leachability of CFA via different leaching methods and the chemical speciation of some typical metal elements in CFA, which is related to its harmful effects. The specific harm that CFA causes to humans, wild animals, and plants and the study status of magnetic property of CFA are presented. Because of the pervasive concerns of many people, the utilisation of CFA in the USA and Europe and an economic and environmental analysis of its disposal is provided and discussed. Finally, some possible directions for future research involving CFA are proposed.