The efficient and economical treatment of wastewater using microalgae has attracted much attention. However, harvesting microalgae cells from treated wastewater remains challenging. In the present study, a Chlorella vulgaris suspension containing filamentous fungi Aspergillus niger and Chaetomium gracile was successfully used to construct a self-flocculating system, with a microalgae flocculation efficiency of 99.6% achieved by gravity sedimentation within 4 h. The diameter of fungi played an important role in determining flocculation efficiency, and the optimal particle size was 10 mm. Scanning electron microscopy (SEM) and Fourier transform infrared spectroscopy (FTIR) results indicated that the sweeping action of fungal mycelia and the interaction between the functional groups of fungi and the C. vulgaris surface contributed to improve flocculation. Co-cultivation of C. vulgaris and fungi could effectively remove 83.53%, 94.45% and 76.88% of total phosphorus, total nitrogen and chemical oxygen demand, respectively, from the sludge leachate from a sugar mill. The fungal-algal biomass reached 5.75 g/L. Herein, the constructed self-flocculation system had coupled efficient flocculation of C. vulgaris with removal of pollutants from wastewater in a short period of time, and providing a green, pollution-free, low-cost method for simultaneous wastewater treatment and the production of high quality biomass.