Hydraulic fracturing is an important technology for the exploitation of unconventional oil or gas reservoirs. In order to increase the production of oil or gas, ultra-lightweight proppants with a high compressive strength are highly desirable in hydraulic fracture systems. In this work, a new type of ultra-lightweight proppant, poly(styrene-co-methyl methacrylate)/fly ash (poly(St-co-MMA)/FA) composites with a high compressive strength were prepared via in situ suspension polymerization. The Fourier transform infrared (IR) and X-ray powder diffraction (XRD) analyses confirmed that the poly(St-co-MMA)/FA composites were successfully prepared. The morphology analysis indicated that the composite microspheres show good sphericity, and FA powder was evenly dispersed in the matrix. The apparent density of the microspheres was between 1 and 1.3 g/cm3, which is suitable for hydraulic fracturing. Furthermore, the compressive strength and thermostability were dramatically improved with the incorporation of FA, which could withstand high pressures and temperatures underground. The obtained poly(St-co-MMA)/FA composite microspheres are promising for application as an ultra-lightweight (ULW) proppant in oil or gas exploitation, which provides a new approach for the design of high performance proppants.