Coal fly ash (CFA) is the primary solid waste generated by the coal-fired industry, and the predominant treatment methods include accumulation, landfill, and the production of cement-based building materials. However, the availability of these methods is relatively limited, and there is a need for technological upgrades. The extensive accumulation not only leads to environmental pollution but also has detrimental effects on human health. With its loose structure and main chemical components of Al2O3 and SiO2, CFA is conducive to the synthesis of promising nanoporous materials for applications in adsorption. The use of CFA as a raw material can significantly reduce preparation costs, improve comprehensive utilization efficiency, and manufacture more valuable products, aligning with the current strategy of sustainable development. Currently, the most widely used synthesis method is hydrothermal synthesis. This review focuses on the principles, methods, and influencing factors of synthesis, with particular emphasis on CFA-based mesoporous silica, zeolites, and metal–organic frameworks (MOFs), which have not been systematically reviewed previously. The quality of these synthesized nanoporous materials can be finely adjusted through the synthesis process. A comparison of the advantages and disadvantages of each process will be made, and the impact of the synthesis conditions on the synthetic products will be analyzed. Additionally, a brief discussion on the latest research advances in their applications in adsorption will be provided. Finally, relevant challenges and issues have been proposed.