Addressing the significant emissions and severe pollution hazards posed by coal fly ash waste in the coal chemical industry, as well as the challenges in recovering phenolic substances from coal chemical wastewater, this study utilized coal fly ash as a raw material to construct two types of spherical grain adsorbents: coal fly ash and coal gangue spherical grain (CFAGsg) and coal fly ash and pyrite spherical grain (CFAPsg). The adsorption performance of CFAGsg and CFAPsg towards phenolic substances in coal chemical wastewater was investigated. The research results demonstrated that CFAGsg and CFAPsg exhibited adsorption capacities of 20.31 mg/L and 30.42 mg/L for phenol, respectively, and maintained stable adsorption performance even after multiple regeneration cycles. Further analysis using kinetic, isotherm, and thermodynamic models, along with various characterization techniques, revealed that the adsorption of phenol onto CFAGsg and CFAPsg was primarily governed by physical and chemical adsorption, involving an endothermic reaction. Moreover, the study on the adsorption mechanism of phenol revealed that the adsorption behavior of CFAGsg and CFAPsg was mainly driven by pore filling, π-π stacking, and hydrogen bonding. Additionally, hydrophobic interactions were involved in the adsorption of phenol onto CFAGsg, while surface complexation forces played a role in the adsorption of phenol onto CFAPsg. Overall, the research findings provide vital theoretical support and practical application prospects for the high-value utilization of coal fly ash and the clean production of the coal chemical industry.