Coal fly ash (CFA), a by-product of coal combustion, is a valuable raw material for various applications. However, the heterogeneous nature of the composition and properties of CFA provides challenges to its effective usage and utilisation. This study investigates the thermal behaviour of the fly ashes of lignite (FA1) and brown coal (FA2) and their fractions obtained by dry aerodynamic separation. Thermal analysis techniques, including thermogravimetry (TG), differential scanning calorimetry (DSC), and evolved gas analysis (EGA), were used to characterise the behaviour of the fly ash fractions while heating up to 1250 °C. The results reveal distinct differences in the thermal behaviour between ash types and among their different size fractions. For the FA1 ashes, the concentration of calcium-rich compounds and the level of recrystallisation at 950 °C increased with the decrease in particle size. The most abundant detected newly formed minerals were anhydrite, gehlenite, and anorthite, while coarser fractions were rich in quartz and mullite. For the FA2 ashes, the temperature of the onset of melting and agglomeration decreased with decreasing particle size and was already observed at 995 °C. Coarser fractions mostly remain unchanged, with a slight increase in quartz, mullite, and hematite content. Recrystallisation takes place in less extension compared to the FA1 ashes. The findings demonstrate that the aerodynamic separation of fly ashes into different size fractions can produce materials with varied thermal properties and reactivity, which can be used for specific applications. This study highlights the importance of thermal analysis in characterising fly ash properties and understanding their potential for utilisation in various applications involving thermal treatment or exposure to high-temperature conditions. Further research on advanced separation techniques and the in-depth characterisation of fly ash fractions is necessary to obtain materials with desired thermal properties and identify their most beneficial applications.