In this work, a novel type of ultrafiltration ceramic membranes with the support based on fine fly ash microspheres and selective layer based on the alumina nanofibers with an aluminosilicate binder is proposed. The average pore sizes of the support and selective layer are 0.46 μm and 29 nm, respectively. The membrane is characterized by the compressive strength of 96 MPa and water permeability of 207 L m−2 h−1 bar−1. It is shown that the binder provides structural stability of selective layer and adhesion to the support. With increasing the binder content, the water permeability increases, reaches maximum, and then slightly decreases. The developed membranes are used for ultrafiltration of Blue Dextran dyes aqueous solutions with molecular weights of 70 kDa and 500 kDa and concentrations of 50 and 100 mg/L. The dyes rejection varies in the range 97–99 %, while the permeate flux is 100–140 L m−2 h−1 at the transmembrane pressure of 4 bars. The dye retention occurs via adsorption at the initial stage, which leads to the narrowing of pore size. Further, the dye filtration proceeds mainly due to size effects. The proposed membranes can be employed for dye removal from wastewater, and also allow chemical modification by carbon coating to be employed in electrochemically assisted ultrafiltration. The developed methodology promotes the recycling of thermal energy waste and introduces novel approaches to combine waste and synthesized raw materials in the production of low-cost ceramic membranes.