Membrane technology is a promising method for gas separation. Due to its low energy consumption, environmental safety, and ease of operation, membrane separation has a distinct advantage over the cryogenic distillation conventionally used to capture light inert gases. For efficient gas recovery and purification, membrane materials should be highly selective, highly permeable, thermally stable, and low-cost. Currently, many studies are focused on the development of high-tech materials with specific properties using industrial waste. One of the promising waste products that can be recycled into membrane materials with improved microstructure is cenospheres—hollow aluminosilicate spherical particles that are formed in fly ash from coal combustion during power generation. For this purpose, based on narrow fractions of fly ash cenospheres containing single-ring and network structure globules, silicate glass/mullite composites were prepared, characterized, and tested for helium–neon mixture separation. The results indicate that the fragmented structure of the cenosphere shells with areas enriched in SiO2 without modifier oxides, formed due to the crystallization of defective phases of mullite, quartz, cristobalite, and anorthite, significantly facilitates the gas transport process. The permeability coefficients He and Ne exceed similar values for silicate glasses; the selectivity corresponds to a high level even at a high temperature: αHe/Ne—22 and 174 at 280 °C.