Design of new efficient membranes from sustainable sources such as coal fly ash (CFA) has been receiving rapidly growing attention. In the present work, alumina-based tubular asymmetric membranes were incorporated with different amounts of CFA using the centrifugal casting technique. The amount of CFA added to the matrix of the alumina tubes was varied from 10 to 40 wt% on a dry weight basis. The development of the ceramic membranes containing CFA comprised the following steps: raw materials dispersion, membrane preparation by centrifugal casting using high-speed mold rotation, drying of the green body followed by sintering at 1200 °C. The techniques used for membrane characterization included measuring mechanical strength, apparent porosity, morphology by scanning electron microscopy, linear shrinkage, hydraulic performance, and cornstarch retention. High CFA fraction in the alumina-based membranes resulted in higher porosity and higher water permeability, accompanied by a decrease in mechanical strength and linear shrinkage. The observed permeate flux was between 116 and 370 L m−2 h−1 bar−1, and the observed retention was above 99% for all the membranes tested. The addition of CFA for the preparation of asymmetric tubular membranes based on alumina allows utilization of industrial waste, reduces the cost and is interesting from both an economic and environmental points of view. These membranes have the potential for applications such as wastewater treatment and as a support for selective layer coatings.