Using coal fly ash (CFA) as the raw materials in ceramic production is an effective means to realize large-quantity and high-value utilization. An eco-friendly and cleaner process to prepare architectural ceramics from CFA is described in this paper. CFA first undergoes mechanochemical activation and then used to prepare porcelain ceramic tiles with outstanding mechanical properties. The solution after activation is the sole raw materials to produce foamed ceramics with novel thermal insulation properties. The mechanochemical activation mechanism is investigated systematically. During activation, some of the octahedrally coordinated Al3+ ions are converted into tetrahedrally coordinated Al3+, which can substitute for Si4+ in the tetrahedral rendering the silicate structure in activated CFA unstable. Moreover, the preparation mechanism of the foamed ceramics is studied. On the micro-level, solidification of the foamed ceramics can be interpreted as Si-O-Si structural transformation from two-dimensional layers to a three-dimensional network during sintering. The two final products are characterized and the good mechanical properties of as-obtained porcelain ceramic tiles are attributed to the needle-shape mullite derived from activated CFA. The low thermal conductivity of 0.0453 W/m·K of the as-obtained foamed ceramics arises from the unique cavity construction. Finally, the substance flow, gas emission, and heavy metal leaching behavior of the final products are discussed and the results indicate that there is almost no hazardous waste emission in the process. This study provides insights into more efficient and cleaner utilization of CFA as ceramic materials.