High-alumina coal fly ash (HAFA) is an important aluminum and silicon resource. In the process of preparing aluminum–silicon materials from HAFA, the influence of impurity elements on its performance must be considered. In this work, the occurrence state of impurities in HAFA, micro morphology, and the bond energy of different impurity coordination were studied. Sulfuric acid leaching method and density functional theory were used to study the leaching behavior of impurities to verify the difficulty of removing different impurity elements. The results show that iron existed in the form of magnetic particles (34.78%), amorphous phase (49.24%), and crystalline phase (15.96%) in HAFA. Titanium mainly existed in amorphous phase (29.34%) and crystalline phase (69.4%). In sulfuric acid leaching, titanium was more difficult to leach, and the content of TiO2 decreased from 2.30% to 2.25%, whereas that of Fe2O3 decreased from 1.50% to 0.86%. The actual leaching behavior of impurity elements was consistent with the simulation results, with more energy required to remove Ti than Fe. These studies of impurity elements in HAFA will provide theoretical support for the preparation of aluminum–silicon materials.