Currently, China has a huge demand for energy, and coal-fired power generation plays a major role. Fly ash is the main by-product of coal-fired power plants, with an annual output of more than 600 million tons and a comprehensive utilization rate of about 80%. Most of the unused fly ash is disposed by stacking, which not only occupies land, but also brings a series of environmental problems. Promoting the comprehensive utilization of fly ash plays a significant role in preventing environmental pollution and improving the economic benefits. Fly ash is mainly composed of unburned carbon, cenosphere, magnetic sphere, sinking bead and residue ash. The properties of each component in fly ash are different, and the overall resource utilization has the problems including low product quality, limited application range and difficulty in achieving high-value utilization. Therefore, this paper proposes a reutilization mode of fly ash after sorting and separation of different components. The separation method of each component in fly ash is summarized. The research progress of high-value utilization of each component in the fields of adsorbent functional materials, building materials and thermal insulation materials is reviewed based on the differences in the properties of various components in fly ash. Moreover, the future application prospects of achieving high-value utilization of fly ash components are proposed. This review is expected to provide a reference for reducing the stock amount of fly ash and improving the utilization value of fly ash.