Using coal fly ash (CFA) as the skeleton material and binary sulfates of Na2SO4-K2SO4 as the phase change material (PCM), high-temperature coal fly ash based phase change thermal storage materials (CPCM) were successfully synthesized. The influences of CFA fractions and types on the morphology, physicochemical properties, and thermal characteristics of the composites were intensively investigated. Results show that the heat storage density and thermal conductivity of CPCMs increase with the PCM content. Particularly, the CPCM60-A composite, comprising 60 wt% Na2SO4-K2SO4 eutectic and 40 wt% CFA-A, exhibits excellent chemical compatibility and stable shape retention after sintering. Furthermore, CPCM60-A demonstrates the highest phase change latent heat of 60.43 J/g and thermal conductivity of 0.61 W/(m·K). The influence of CFA types reveals that CFA-A with a higher ratio of SiO2 and Al2O3, lower carbon content, and a rich porous structure is more suitable to fabricate molten salt heat storage materials. This work demonstrates that CFA, a byproduct of coal-fired industry, is a promising skeleton material for the fabrication of high-temperature CPCM composites, offering a novel approach for enhancing the efficiency and cost-competitiveness of solar power and waste heat recovery systems.