In this study, fly ash cenospheres (FACs), characterized by their floating properties and inherent photocatalytic activity, were used as a carrier to support ZnFe2O4 material and doped with conductive polymer polypyrrole (PPy) to prepare a novel ternary PPy–ZnFe2O4/FACs (PPy–ZF) composite catalyst. X-ray diffraction, Fourier transform infrared spectroscopy, TEM, and scanning electron microscopy were used to characterize the structure, morphology, and optical properties of the samples prepared. In particular, a 20 mg/L methyl orange (MO) solution at pH 4 was given 0.075 g of PPy–ZF catalyst to add, and after 30 min of dark adsorption, followed by irradiation for 180 min, 98.54% of the MO was removed. The material was also shown to have good stability and reusability through three cycles of use. Additionally, the material exhibited good photocatalytic activity for other dyes. The results of photocatalytic experiments showed their significantly enhanced photocatalytic activity toward MO, which was mainly attributed to the synergistic effect of PPy and ZnFe2O4 on the surface of FACs, leading to a high separation efficiency and a low rate of photogenerated charge complexation. In addition, cyclic tests demonstrated the stability and reusability of the composite. The leading role in the photocatalytic degradation of MO was demonstrated by the radical trapping experiment, which showed ·O2 − and h+. The present study can significantly improve the photocatalytic performance of the floating materials of ZnFe2O4/FACs, which is beneficial to solve the current energy crisis and environmental pollution problems. It has certain reference significance to solve the problems of environmental pollution, waste recycling, and catalyst recycling in the future.