The environmental quality has been given more attention because of the potential hazards brought by urbanization and industrialization. Therefore, this study proposed a comprehensive utilization method for treating dye wastewater using solid waste. P zeolite was prepared using coal fly ash (CFA), and then anchored with CuxO as catalyst (CuxO/P) for heterogeneous Fenton‐like degradation of methylene blue (MB) under ultraviolet irradiation (UV). Compared with P zeolite and CuO, the catalyst CuxO/P showed the highest degradation efficiency of MB in combination with H2O2 and UV (98.3 %) after 90 min of reaction. This can be attributed to the involvement of copper component and the dispersion of P zeolite as the carrier. The MB degradation reaction was consistent with first‐order kinetics. The sum of the rate constant k in the CuxO/P+H2O2 (0.0030 min−1) and CuxO/P+UV (0.0035 min−1) system is much lower than that in the CuxO/P+H2O2+UV system (0.0491 min−1), indicating a strong synergistic effect among CuxO/P, H2O2, and UV. Meanwhile, the catalyst CuxO/P with excellent stability and renewability presented a degradation efficiency of over 95 % in 5 cycles, exhibiting considerable application prospects in dye wastewater treatment. Furthermore, the most effectively radical was ⋅OH generated by catalytic H2O2. This work provided a new perspective for the reuse of coal fly ash. It would be one of the most efficient and comprehensive utilization ways to treat wastewater with solid waste.