Air pollutants such as volatile organic compounds (VOCs), nitrogen oxides (NOx), sulfur dioxide (SO2), as well as water pollutants including heavy metal, are harmful to human and environment. Effective control and reduction of their pollution is therefore an important topic for today’s scientists. Fly ash (FA) is a type of industrial waste that can cause multiple environmental problems if discharged into the air. On the other hand, because of its high porosity, large specific surface area, and other unique characteristics, the FA can also be used as a low-cost and high efficient adsorbent with some simple modifications. This paper reviews the effects of FA on treatment of the above air and water pollution based on our research experience over many years, including to the current status of global FA utilization, physicochemical properties, principle of adsorption, and the application direction of FA in the future. It focuses on the use of nanocomposite technology to fabricate functional FA fibrous membranes to adsorb VOCs from air, and treat heavy metal wastewater. This present review first describes the fabrication technology of FA nanocomposites and their mechanism of adsorption VOCs from air. Utilization of nanofiber technology to fabricate multi-functional FA emerging composite materials to mitigate air and water pollution has great potential in the future, especially use of pollutant material to control other pollutants.