In this paper, a new preparation technology is developed to make high-alumina coal gangue (HACG) auxiliary cementitious admixture by calcining HACG-Ca(OH)2 (CH) mixture. HACG powders mixed with 20 wt.% CH were calcined within a temperature range of 600-900 °C, and the thermal transformation and mineral phase formation were analyzed. The hydration reaction between activated HACG-CH mixture and cement was also investigated. The results showed that HACG experienced a conventional transformation from kaolinite to metakaolin at 600 °C and finally to mullite at 900 °C, whereas CH underwent an unexpected transformation process from CH to CaO, then to CaCO3, and finally to CaO again. These substances' states were associated with the dehydroxylation of CH, the chemical reaction between CaO and CO2 generating from the combustion of carbon in HACG, and the decomposition of CaCO3, respectively. It is the formation of a large amount of CaO above 800 °C that favors the formation of hydratable products containing Al2O3 in the calcining process and C-A-H gel in the hydration process. The mechanical properties of HACG-cement mortar specimens were measured, from which the optimal calcination temperature of 850 °C was determined. As compared with pure cement mortar specimens, the maximum 28-d flexural and compressive strengths of HACG-cement mortar specimens increased by 5.4% and 38.2%, respectively.