The coal gasification fine slag (CGFS) from the entrained-flow coal gasification unit faces the challenge of safe disposal and clean utilization in the Ningdong region, China. This study aims to provide complete and thorough understanding of the distribution features, chemical speciation, environmental impact, and leaching behavior of typical heavy metals (i.e., V, Cr, Mn, Ni, Cu, Zn, Ba, and Pb) in the CGFS with different size fractions. The results show that the distribution of selected heavy metals in the CGFS has evident particle size dependence. Except for Zn, the other heavy metals in different size fractions mainly exist in chemical speciation of residual form with the ratio of 50.11–86.69 wt%. Moreover, it is found that the heavy metals in the different-sized CGFS show different RAC (risk assessment code) environmental risk levels and TCLP (Toxicity Characteristic Leaching Procedure) leaching concentrations. Especially, Zn in SGFS-C and SGFS-D posed a high-risk level to the environment, while the heavy metal elements of Cr, Mn, Ni, Zn, and Ba in other size fractions are classified as a medium environmental risk. In addition, the TCLP test results indicate that the leaching concentration of Cr, Mn, Ni, Zn, Ba, and Pb exceeds the groundwater-related regulatory limit in China. The pH-dependent leaching experiments suggest that Pb shows the amphoteric behavior, while the leaching mode of other heavy metals seems to be the cationic pattern. Furthermore, the leachability of the selected heavy metals in small-size fractions of the CGFS should be given more consideration at both acid and alkaline pH ranges. The leaching kinetic results demonstrate that the most effective mechanism to describe the leaching process of Cr, Ni, Zn, and Pb in different CGFS size fractions is the diffusion-controlled theory, which is supported by the different morphological traits of spherical mineral particles and carbon particles in the CGFS.