This study optimizes the modification and granulation of fly ash to make it more stable at the sediment–water interface. Through laboratory simulations, the modified fly ash pellets were optimally granulated to cover the sediment–water interface, and its control effect and mechanism were evaluated. The results showed that the phosphorus adsorption effect of lanthanum-modified fly ash was 34% and 40% higher compared with those of acid-modified and alkali-modified fly ash, respectively, with the phosphorus adsorption effect reaching 85%. The best dosing ratio was about 0.3 g/L. Adsorption was affected by pH and was more effective under weak alkalinity, close to the Langmuir adsorption model, which was consistent with the unimolecular layer adsorption characteristics and the presence of chemisorption and physical adsorption. The saturation adsorption amount of phosphate by lanthanum-modified fly ash was 8.89 mg/g. The optimized granulation conditions for lanthanum-modified fly ash pellets were a fly ash/montmorillonite ratio of 7:3, a roasting temperature of 900 °C, a roasting time of 4 h, and a particle size of 3 mm. After 20 days, the orthophosphate removal rate was more than 60% higher than that of the control group, with a total phosphorus removal rate of 43%. After covering for 60 days, active phosphorus in the surface layer of the sediment was gradually transformed into a stable phosphorus form, with calcium phosphorus accounting for 70% of the total inorganic phosphorus. The ability of the sediment to release phosphorus to the overlying water body was also significantly weakened. Meanwhile, the total phosphorus removal rate in the overlying water at the sediment–water interface reached more than 40%, and orthophosphate removal reached more than 60%, indicating an obvious phosphorus control effect. Transmission electron microscopy analysis showed that lanthanum was present at locations enriched with elemental phosphorus and was adsorbed onto the material surface. Therefore, lanthanum-modified fly ash pellets are a promising in situ phosphorus control agent with good endogenous phosphorus pollution control abilities in eutrophic water bodies.