Coal fly ash, an industrial solid waste, occupies land and pollutes the environment in long-term stockpiling. Utilization of coal fly ash to produce non-sintered lightweight aggregates is a simple and cheap process with low energy consumption. However, it is still a challenge to produce coal fly ash based non-sintered lightweight aggregates with high mechanical and physical properties. In this work, high strength coal fly ash based non-sintered lightweight aggregates with low initial Ca/Si ratio were produced by autoclave curing and 1 h H2O2-modified basalt fiber addition. The cylinder compressive strength, 1 h water absorption, the bulk density and apparent density of the produced aggregates are 15.52 MPa, 4.85 %, 1089.83 kg/m3 and 1762.43 kg/m3 respectively. By analyzing the phase composition, microstructure and pore structure of the produced aggregates by XRD, SEM, FT-IR and MIP, it suggested that honeycomb-like C-A-S-H gel was formed and filled the pores in the aggregate matrix. Shown in the 3D profiles, a highly rough surface was formed on the basalt fiber after 1 h H2O2-modification. The rough surface provided as anchoring points for the interaction between the aggregate matrix and the fiber. Autoclave curing and basalt fiber modification synergistically improved the mechanical and physical properties of coal fly ash based non-sintered lightweight aggregates through “chemical filling-physical occupancy”.