Due to effective detoxification, thermal treatment is a preferred treatment technology of municipal solid waste incineration (MSWI) fly ash. However, immobilization behavior of heavy metals during thermal treatment is unclear. In this work, a circulated fluidized bed fly ash with SiO2 addition and a grate furnace fly ash with high silica-aluminum coal ash addition were used to investigate combined effect of active chlorine content, liquid polymerization degree, temperature of initial liquid phase formation and liquid phase formation rate on the immobilization ratios of Zn, Pb and Cd by principle component analysis (PCA). The results show that the decrease in active chlorine content favors the immobilization of Zn, Pb and Cd because chlorination volatilization is reduced. Both the increase in liquid polymerization degree and the formation of initial liquid phase at low temperature promote the immobilization of Zn, Pb and Cd for physical encapsulation. However, a rapid formation of liquid phase is not favorable for the immobilization of Zn, Pb and Cd, because transfer of heavy metals between crystals and liquid phase is impeded by high viscosity of liquid phase during fusion. The results can provide a reference for how to achieve the immobilization of heavy metals by adjusting the chemical composition of MSWI fly ash during thermal treatment.