Due to its potential pozzolanic activity, granulated copper slag (GCS) has been proven to act as a supplementary cementitious material (SCM) after thermochemical modification with CaO. This modification method reduces cement consumption and CO2 emissions; however, the additional energy consumption and environmental properties are also not negligible. This paper aims to evaluate the economics and environmental properties of thermochemically modified GCS with CaO through the melting temperature, grindability, and heavy metal leaching characteristics. The X-ray fluorescence spectroscopy (XRF) results indicated that the composition of the modified GCS shifted to the field close to that of class C fly ash (FA-C) in the CaO-SiO2-Al2O3 ternary phase diagram, demonstrating higher pozzolanic activity. The test results on melting behavior and grindability revealed that adding CaO in amounts ranging from 5 wt% to 20 wt% decreased the melting temperature while increasing the BET surface area, thus significantly improving the thermochemical modification’s economics. The unconfined compressive strength (UCS) of the cement paste blended with 20 wt% CaO added to the modified GCS after curing reached 17.3, 33.6, and 42.9 MPa after curing for 7, 28, and 90 d, respectively. It even exceeded that of Portland cement paste at 28 d and 90 d curings. The leaching results of blended cement proved that the heavy metal elements showed different trends with increased CaO content in modified GCS, but none exceeded the limit values. This paper provides a valuable reference for evaluating thermochemically modified GCS’s economics and environmental properties for use as SCM.