The recycling and utilization opportunities for coal fly ash (CFA) have increased in the past two decades. However, limited commercialization of the material is still reported, while disposal and management remain major concerns. CFA utilization is currently commercially feasible in the building and construction industry. Other alternative uses that are being explored involve the extraction of valuable metals and the purification of wastewater. The CFA-produced adsorbent material utilized in wastewater purification processes should be able to generate water that meets the legal quality requirements for reutilization in alternative applications. On the other hand, in the recovery of metallic components such as smelter-grade alumina, high recovery and high purity products are only achievable through the processing of CFA using expensive and energy—intensive processes. Furthermore, most of the current CFA recycling processes tend to generate secondary solid residues (SSR), which can cause environmental pollution, thus requiring further downstream processing. In this context, this paper reviews and discusses current research on CFA recycling methods, challenges and opportunities associated with resource recovery from CFA, and the acceptability of the value-added products, and it therefore proposes sustainable processes for CFA utilization. This review further suggests that to successfully compete with bauxite for production of smelter-grade alumina, other saleable value-added products such as Ti, Fe and the REEs should be recovered by engineering an integrated process design. The generated SSR in each process must also be characterized, recycled and re-used to reduce waste production and advance the circular economy concept. The review concludes that for CFA to become considered as a more attractive commercial resource, there is need for its complete and holistic utilization in high volumes and in different applications to offset its low value.