Iron-rich rolling sludge (FeRS) represents a kind of typical solid waste produced in the iron and steel industry, containing a certain amount of oil and large amounts of iron-dominant minerals. Pyrolysis under anaerobic environment can effectively eliminate organics at high temperatures without oxidation of Fe. This paper firstly investigated comprehensively the pyrolysis characteristics of FeRS. The degradation of organics in FeRS mainly occurred before 400 °C. The activation energy for pyrolysis of FeRS was extremely low, ca. 5.44 kJ/mol. The effects of pyrolytic temperature, atmosphere, heating rate, and stirring on pyrolysis characteristics were conducted. Commonly, the yield of solid residues maintained around 85 wt.%, with approximately 13 wt.% oil and 2 wt.% gas. Due to the low yield of oil and gas, their further utilization remains difficult despite CO2 introduction which could upgrade their quality. The solid residues after pyrolysis exhibited porous properties with co-existence of micropores and mesopores. Combined with the high content of zero-valent iron, magnetic property, hydrophobic characteristic, and low density, the solid residues could be further utilized for water pollution control and soil remediation. Moreover, the solid residues were suitable for sintering to recover valuable iron resources. However, the solid residues also contained certain heavy metals, such as Cd, Cr, Cu, Ni, Pb, and Zn, which might cause secondary pollution during their utilization. In particular, the toxic Cr possessed high content, which should be treated with detoxification and removal. This paper provides fundamental information for pyrolysis of FeRS and utilization of solid residues.