Studies were carried out to find a relation between the important physical property, i.e., water absorption and the main mechanical parameter, i.e., compressive strength (fcm), of concretes containing coal fly ash (CFA) in the amounts of 0% (CFA-00), 20% (CFA-20%), and 30% (CFA-30). The methodology of the water absorption tests reflected the conditions prevailing in the case of reinforced concrete structures operating below the water table. The microstructure of all materials was also assessed. Based on the conducted studies, it was found that both the fcm of concretes with the addition of CFA and its water absorption depended on the percentage of waste used, whereas both analyzed parameters were closely related to the structure of the cement matrix and interfacial transition zone area between the coarse aggregates and the paste. It should be stated that at the content of 20% CFA in the binder composition, an increase in the fcm of the material is observed, with a simultaneous increase in its water absorption. On the other hand, the addition of 30% CFA results in a significant decrease in both the strength of the composite and its water absorption. Thus, it was found that in the case of concretes with the addition of CFA, the strength of the material is directly proportional to the level of its water absorption. Moreover, the concrete including 30% CFA may increase the durability of reinforced concrete structures subjected to immersion conditions. From an application point of view, the obtained research results may be helpful in understanding the impact of the CFA additive on the level of water absorption in cement concretes with this waste.