Coal gasification fine slag (CGFS) is a by-product of gasification process of gasification beds that pollutes the environment. To make the utilization of CGF more efficient, poly (vinyl chloride) (PVC)/CGFS composites were prepared via a melt blending process, and their mechanical and thermal properties were investigated. In order to dig deeper into the decomposition mechanism, the thermal degradation kinetics were systematically analyzed by drawing non-isothermal heat maps based on the Flynn-Wall-Ozawa, Friedman, and Kissinger model-free methods. According to the results, the properties of all tests vary significantly with CGFS content. In particular, at a the CGFS content of 20 phr, the tensile strength (tensile modulus) and flexural strength (flexural modulus) of CGFS-20 were 13.5% (47.8%) and 13.9% (41.6%) higher, respectively, than those of conventional CGFS-0 composites. However, the impact strength decreases with the increase of CGFS content. At the same time, the addition of CGFS suppresses the mass conversion rate and improves the thermal stability of PVC composites at high temperature, and the final residual mass reaches 31%, which is 12.7% higher than that of pure PVC. The kinetic analysis of thermal decomposition shows that CGFS promotes the initial degradation of the composites reduces the activation energy of the reaction, and at the same time endows them with higher thermal stability in the high-temperature phase.