CoFe₂O₄ loaded onto red brick powder (CoFe₂O₄@RBP) was synthesized via coprecipitation followed by post-calcination and employed as a heterogeneous catalyst to activate peroxymonosulfate (PMS) for the degradation of methylene blue (MB), thereby valorizing red brick demolition waste within a circular economy pathway and aligning the study with sustainability-oriented resource recovery. The effects of pH, PMS concentration, catalyst dosage, and coexisting substances on MB removal were systematically investigated. Complete MB removal was achieved within 30 min, and the apparent rate constant for the CoFe₂O₄@RBP/PMS system was 0.22 min⁻¹—slightly lower than that of CoFe₂O₄/PMS—while Co leaching was markedly reduced. The process performed well across a broad pH range (3.0–9.0). EPR and radical-quenching experiments indicate that SO₄•⁻ and HO• play a minor role, whereas the Co(II)–PMS complex is primarily responsible for MB degradation; accordingly, common coexisting species (SO₄²⁻, Cl⁻, NO₃⁻, humic acid) exert negligible effects. The catalyst also maintained strong durability across numerous repetitions. These results highlight a cost-efficient route to PMS activation by coupling CoFe₂O₄ with construction waste-derived supports.