Coal fly ash (CFA) as an industrial solid waste has an extremely adverse influence on the environment. The high value utilization of CFA was a hot research topic with sustainable development for years. In this work, we found that CFA exhibits underoil superhydrophobicity and underwater superoleophobicity due to the special microstructures and chemical composition. And for the first time, CFA was used as a filter material for the separation of various oil/water mixtures and emulsions under the driven of gravity without any further chemical modification. Both light oil/water and heavy oil/water immiscible mixtures can be completely separated through CFA with almost 99.9% efficiency. More importantly, due to the “size-sieving” effect, CFA was capable of purifying various emulsions with high separation efficiency. After being pre-wetted with water, CFA displayed excellent separation capacity more than 92% and good flux as fast as 1050 L m−2 h−1 for water-in-oil emulsions. After being pre-wetted with oil, CFA exhibited a higher separation efficiency of 99.5% and a flux of over 935 L m−2 h−1 for water-in-oil emulsions. Therefore, this work provided an innovative, green, and low-cost approach for various oil/water mixtures and emulsions separation, which can also be widely used in wastewater treatment.