Investigating the physicochemical properties and embedding forms of residual carbon (RC) and slag particles (SPs) in coal gasification fine slag (FS) is the basis for achieving its separation and utilization. An in-depth understanding of their compositional characteristics allows for targeted treatment and utilization programs for different components. In this work, the physicochemical properties and embedding forms of RC and SPs in FS were systematically investigated. An innovative calculation method is proposed to determine the mass fraction of dispersed carbon particles, dispersed mineral-rich particles, and carbon–ash combined particles by using a high-temperature heating stage coupled with an optical microscope. The unburned RC with a rough, loose surface and a well-developed pore structure acted as a framework in which the smaller spherical SPs with a smooth surface were embedded. In addition, the sieving pretreatment process facilitated the enrichment of the RC. Moreover, the RC content showed significant dependencies according to the FS particle size. For FS with a particle size of 0.075–0.150 mm, the mass proportions of dispersed carbon, ash particles, and the carbon–ash combination were 15.19%, 38.72%, and 46.09%, respectively. These findings provide basic data and reliable technical support for the subsequent carbon and ash separation process and the comprehensive utilization of coal gasification slag.