Abstract: The energy structure, characterized by abundant coal, limited oil, and gas shortages, contributes to China’s prevalent coal consumption. In the context of carbon peaking and carbon neutrality, coal combustion exacerbates environmental pollution, highlighting the urgent need to promote clean and efficient coal use. As coal gasification technology rapidly advances as a pivotal method for achieving cleaner and more efficient coal use, the challenge of effectively managing coal gasification solid waste becomes increasingly important. The substantial carbon content and complex distribution of carbon and inorganic minerals in coal gasification residue hinder its comprehensive use in building materials and mixed combustion processes. Consequently, the primary disposal methods for coal gasification slag remain stacking and landfilling, which waste land resources and pollute the environment. To realize sustainable and eco-friendly development within the coal chemical industry, addressing the efficient disposal of coal gasification slag is of paramount importance. An abundance of aluminum, silicon, and carbon residue resources endows coal gasification slag with immense potential for the production of high-value-added materials, garnering considerable attention from researchers. The inorganic mineral composition of coal gasification slag is rich in silicon oxide, alumina, and iron oxide components, which can be harnessed for synthesizing zeolite, mesoporous silica, and various micro/nano materials. The carbon residue within coal gasification slag exists in a flocculent porous form, exhibiting a certain degree of graphitization and possessing a large specific surface area, thereby facilitating the production of porous carbon materials. Moreover, a strategy of simultaneous use of carbon and ash can be leveraged to prepare carbon–silicon mesoporous and zeolite–carbon composite materials from coal gasification slag. Looking ahead, based on large-scale coal gasification slag consumption through bulk resource use, the high-value utilization path of coal gasification slag must be further explored to increase the added value of the industry. Building upon the understanding of the production process of coal gasification slag, this paper introduces the composition and micromorphology of coal gasification slag while systematically detailing the preparation methods for synthesizing mesoporous silica, porous carbon, carbon–silicon mesoporous composite materials, zeolite, and zeolite–carbon composite materials. Additionally, the paper delves into the applications of functional micro/nano materials derived from coal gasification slag across various domains, such as adsorbents, catalysts, filling materials, supercapacitors, and microwave-absorbing materials. Finally, the existing problems and future development trends of coal gasification slag resource usage are addressed, aiming to provide guidance for the comprehensive use of coal gasification slag.