The compressive strength of the roasted fluoride-containing iron ore pellets reached to 2463 N/P at roasting temperature 1080 °C for 10 min with appropriate preheating conditions. However, its compression strength drastically dropped no matter increasing or decreasing the roasting temperature and time. Unfortunately, the narrow suitable roasting temperature range seriously affects the normal pellets productions, while the low compressive strength of pellets limits their application in the blast furnace. In the present study, The SEM-EDS, TG-DSC techniques, and thermodynamic software were adopted to systematically investigate the roasting behaviors of fluoride-bearing iron concentrate pellet and the formation mechanism of liquid phases in the pellets during the roasting process. Furthermore, according to the EDS results and the phase diagram analysis, the low-melting-point phase Ca4Si2F2O7 was generated with the existence of fluorine and Na(K)AlSi3O8 was formed with the existence of alkali metal. These low-melting-point phases can react with the CaAl2Si2O8, CaSiO3, SiO2, and CaF2 to form the complex eutectics which had lower melting points. Briefly, the excessive amount of liquid phases in pellet generated from the fluorine and alkali metals primarily caused the poor roasting properties of the fluoride-containing pellet.