In order to address the problem of sulfur gas and other odors released in the process of using sewage sludge as a construction material, this study prepared multiscale composite particles with a “large scale-medium scale-small scale-micro scale” structure by mixing sludge with silica-alumina building materials. Analysis of the structural changes formed by the internal gas of composite particles due to diffusion at different temperatures and a study of the characteristics of SO2 and H2S release from composite particles were conducted, as well as being compared with the release characteristics of pure sludge, which clarified the mechanism of controlling sulfur-containing-gas release from composite particles. The results showed that compared with pure sludge, the sludge-clay multiscale composite particles were able to reduce the release of SO2 and H2S up to 90% and 91%, and the release temperatures of SO2 and H2S were increased to 120 °C and 80 °C, respectively. Meanwhile, the special structure of the sludge-clay multiscale composite particles and the clay composition are the main factors that hinder the diffusion of sludge pyrolysis gases. Additionally, there are three layers of “gray surface layer-black mixed layer-dark gray spherical core” formed inside the composite particles, which is the apparent manifestation of the diffusion of volatile gases. This study provides theoretical support for the application of multiscale composite particle inhibition of odor-release technology in industrial production.