Advanced SiO2–Al2O3 aerogel materials have outstanding potential in the field of thermal insulation. Nevertheless, the creation of a mechanically robust and low-cost SiO2–Al2O3 aerogel material remains a considerable challenge. In this study, SiO2–Al2O3 aerogel based on coal gangue, which is a type of zero-cost inorganic waste, was constructed in porous agarose aerogel beads, followed by simple chemical vapor deposition of trimethylchlorosilane to fabricate SiO2–Al2O3/agarose composite aerogel beads (SCABs). The resulting SCABs exhibited a unique nanoscale interpenetrating network structure, which is lightweight and has high specific surface area (538.3 m2/g), hydrophobicity (approximately 128°), and excellent thermal stability and thermal insulation performance. Moreover, the compressive strength of the SCABs was dramatically increased by approximately a factor of ten compared to that of native SiO2–Al2O3 aerogel beads. The prepared SCABs not only pave the way for the design of a novel aerogel material for use in thermal insulation without requiring expensive raw materials, but also provide an effective way to comprehensively use coal gangue.