Coal fly ash (CFA) is generated during the combustion of coal for energy production. Many studies are based on its utilization as the most abundant, cheap aluminosilicate industrial residue, which is recognized as a risk for the environment and human health. The present review is focused on CFA origin, chemical properties, and its catalytic application for biodiesel production. The aluminosilicate nature and the presence of rare earth elements make CFA suitable for different adsorption, catalytic, and extraction processes for obtaining valuable products including alternative fuels and pure elements. However, the presence of toxic elements is a potential environmental problem, which should be solved in order to avoid soil, water, and air pollution. The most used modification methods are alkali activation, hydrothermal, and thermal treatment that improve the structural, morphological, and textural properties. The active catalytic form could be obtained by impregnation or ion exchange method. It was found that such synthesized materials have significant catalytic potential in the biofuel chemistry. In the case of biodiesel production, the high values of conversion or yield can be achieved under mild low-energy reaction conditions in the presence of low-cost waste-based catalysts.