Low-cost and concentrated industrial wastes have been recognized as a sustainable resource for preparation of new functional materials. Here, a new method was designed for the synthesis of porous composites containing high-purity Na–P1 zeolite and porous carbon from waste coal gasification fine slag (CGFS), which was treated first by acid leaching to controllably remove metal impurities and adjust Si/Al ratio, followed by NaOH fusion and hydrothermal treatment. By leaching with 1.0 mol/L HCl solution, the Si/Al ratio of the raw CGFS increased to 5.7, and the obtained CZ-1.0 consisted of high-purity Na–P1 zeolite with a typical cone-shaped flower cluster shape. The residue carbon in CGFS can be further activated to form porous carbon and graphite carbon layers interposed in the zeolite structure. The specific surface area and pore volume of CZ-1.0 reached 153.91 m2/g and 0.18 cm3/g, respectively. CZ-1.0 exhibited remarkable adsorption performance for methylene blue (MB) with the adsorption capacity reaching 137.5 mg/g for 100 mg/L MB solution. The adsorption process is mainly controlled by the chemisorption mechanism, and the adsorption of MB by CZ-1.0 may include ion exchange, hydrogen bond interaction, π-π bond interaction and van der Waals force. NaCl solution was successfully used as the desorption agent to regenerate the composite material, and the removal rate remained above 92% after five cycles. This work provides an effective strategy to synthesize a practically applicable adsorbent from the waste coal gasification fine slag for the purification of MB wastewater.