Expanded clay as a high-quality raw material to produce ceramsite is rapidly consumed in the past decades. A novel and green process to prepare the ultra-lightweight ceramsite using non-expanded clay and waste sawdust as raw materials was proposed in the present study, and the physical properties and phase transition mechanism of the ultra-lightweight ceramsite under different raw material formulas and sintering parameters were investigated. The synergistic effects of sawdust and Fe2O3 have a great influence on the expansion properties of ceramsite. The bulk density of ceramsite decreases with the increasing Fe2O3 content and sintering temperature, and it decreases first and then increases with the increase of sawdust content. The generation of gas and vitreous phase by sawdust burning and Fe2O3 reduction can promote the expansion of ceramsite. The typical core-cortex structure of ceramsite is formed, and the compact structure of the external layer significantly reduces the water absorption of ceramsite. The ultra-lightweight ceramsite was obtained with a bloating index of 321%, water absorption of 12.5%, bulk density of 280 kg/m3, and compressive strength of 1.0 MPa under the optimum conditions.