Coal fly ashes (COFA) are readily available and reactive materials suitable for CO2 sequestration due to their substantial alkali components. Therefore, the onsite collaborative technology of COFA disposal and CO2 sequestration in coal-fired power plants appears to have potential. This work provides an overview of the state-of-the-art research studies in the literature on CO2 sequestration via the mineralization of COFA. The various CO2 sequestration routes of COFA are summarized, mainly including direct and indirect wet carbonation, the synthesis of porous CO2 adsorbents derived from COFA, and the development of COFA-derived inert supports for gas-solid adsorbents. The direct and indirect wet carbonation of COFA is the most concerned research technology route, which can obtain valued Ca-based by-products while achieving CO2 sequestration. Moreover, the Al and Si components rich in fly ash can be adapted to produce zeolite, hierarchical porous nano-silica, and nano-silicon/aluminum aerogels for producing highly efficient CO2 adsorbents. The prospects of CO2 sequestration technologies using COFA are also discussed. The objective of this work is to help researchers from academia and industry keep abreast of the latest progress in the study of CO2 sequestration by COFA.