Fly ash, a byproduct collected from the flue gas of coal combustion, serves as an effective additive in concrete. It offers environmental benefits by converting waste into a valuable resource, thus promoting energy conservation, emission reduction, and waste utilization. Additionally, fly ash enhances the mechanical properties and frost durability of concrete. Commonly used as a partial substitute for cement, it helps conserve resources. However, its use may compromise early strength and durability, which limits its applications. The transformation of raw fly ash into ultrafine fly ash through mechanical grinding increases its fineness and specific surface area, thereby boosting its reactivity and micro-aggregate effects. This process produces denser C-S-H gel and optimizes the concrete microstructure. Research shows that although ultrafine fly ash may slightly reduce early concrete strength, it significantly enhances long-term strength, with a 10% substitution improving early compressive strength by 20.2% and later strength by 13.7%. However, excessive fly ash content can reduce frost resistance, with an optimal substitution level at 25% significantly enhancing this property compared to standard concrete. Blending ultrafine fly ash with other mineral admixtures further boosts mechanical properties and frost durability. Challenges include increased processing costs and early strength deficiencies, along with the necessity to control heavy metal content for environmental and health safety. Future research should aim to optimize fly ash particle distribution and reactivity, develop cost-effective production methods, and blend fly ash with other minerals to improve concrete’s mechanical and frost resistance properties, thus expanding its potential applications.