The prediction of bloating of lightweight aggregates (LWA) made from waste materials according to the chemical composition of raw material does not provide a good fit with existing theories. To explain the pore formation of LWA more accurately, it is necessary to consider the effect of initial voids due to gas release before the generation of the liquid phase. This study utilized the bauxite tailing and silica fume as raw material and a two-step firing method to produce fine LWA. The basic properties and microstructure of LWA were evaluated. The experimental results showed that bauxite tailing and silica fume played different roles in the pore formation of LWA. Bauxite tailing can provide gas-generating components related to the initial voids. Silica fume can promote the generation of the liquid phase associated with the development of closed pores. The LWA produced from bauxite tailing and silica fume had a bulk density of 931–1100 kg/m3 and water absorption of 1.2–16.6%, which met the specification standard for LWA. Silica fume of above 20% and sintering temperature of above 1100 °C could produce LWA applied in lightweight concrete and insulation wall panels, while silica fume of below 20% and sintering temperature of below 1100 °C could produce LWA for internal curing. In a word, it was possible to achieve the bloating of LWA by controlling the amount of gas released using the two-step firing method. Introducing the concept of initial voids can lead to the successful design and production of functional LWA having desirable engineering properties for different industrial applications.