A composite material of TiO2 and alum sludge (TiO2@AS) is reported in this paper. The samples of alum sludge (AS) and TiO2@AS were characterized using a field emission scanning electron microscope (FE-SEM), an energy dispersive spectrometer (EDS) and an Ultima IV X-ray diffractometer (XRD). In order to study the adsorption capacity and the adsorption mechanism of methylene blue by TiO2@AS in aqueous solution, three indexes — pH, adsorbent dosage and initial concentration of methylene blue — were investigated to evaluate the adsorption capacity of TiO2@AS. Moreover, thermodynamic, kinetic and isothermal model analyses of the adsorption process were carried out. The results showed that pH has little effect on the adsorption capacity. The maximum adsorption efficiency occurred at an optimized pH value of 11 for the aqueous solution. The adsorbed amount of methylene blue on TiO2@AS increased with the initial concentration of adsorbate and decreased with an increase in TiO2@AS dosage. The adsorption kinetics of methylene blue by TiO2@AS were in good agreement with the quasi-second-order kinetic model (R2 ≥ 0.9964), indicating that chemisorption is the main rate-controlling step. The Freundlich isotherm equation can best describe the experimental data (R2 = 0.9788). It is revealed that the adsorption is mainly multilayer adsorption. Because ΔG < 0 and ΔH > 0, the adsorption is a spontaneous endothermic process. Furthermore, the TiO2@AS can be regenerated under ultraviolet light, thus prolonging the service life of AS and facilitating a solution to the problem of adsorption plugging.