With the development of the coal gasification industry, the comprehensive utilization of coal gasification fine slag (CGFS) has become increasingly important. This study explored the potential of producing non-sintered ceramsite by combining CGFS with blast furnace slag (BFS). The impacts of the alkali activator modulus, dosage, and BFS-CGFS ratio on the ceramsite's cylinder compressive strength, bulk density, apparent density, water adsorption ratio, hydration products, microstructure, and adsorption capacity were investigated. Moreover, the leaching behavior of heavy metals in acidic environments and the production costs were evaluated. The results indicated that the modulus and dosage of the alkali activator, along with the BFS-CGFS ratio, significantly affected the properties of the ceramsite. The cylinder compressive strength, bulk density, and apparent density of the ceramsite increased with the increase in the alkali activator dosage and modulus, but decreased as the BFS-CGFS ratio decreased. The water absorption rate behaved oppositely. With increasing alkali activator modulus and dosage, the ceramsite's adsorption capacity for iodine, CODCr, and methylene blue first increased and then decreased, peaking at a modulus of 1.4 and a dosage of 12%, respectively. A reduced BFS-CGFS ratio increased the adsorption capacity of the ceramsite for iodine and CODCr. Considering both mechanical and adsorption properties, the optimal composition for the ceramsite was found to be an alkali activator modulus of 1.4, a dosage of 12%, and a CGFS content of 70%. With this ratio, the use of ceramsite would not result in secondary environmental pollution. This study not only provided a new approach to enhance the utilization of CGFS but also avoided the use of calcination processes in producing ceramsite, demonstrating its potential in reducing environmental impact.