The large-scale accumulation of coal gangue has caused serious environmental problems, and converting it into ceramsite is an important pathway for resource utilization. Grinding is a key step in the preparation of coal gangue ceramsite, but the effect of particle size distribution on heat release and ceramsite performance remains unclear. In this study, coal gangue with a calorific value of 699.77 kcal/kg was ground for 1, 2, 3, and 4 h, respectively, followed by pelletizing and sintering. The different ground powders and sintering ceramsites were investigated using particle size analysis, TG-DSC, and XRD, as well as pore structure and strength tests. The results show that for the Datong coal gangue raw material, grinding parameters and sintering regime adopted in this work, the powder milled for 2 h presents a left-shifted particle size distribution curve with a narrow main peak, particle refinement and a concentrated particle size profile (D50 = 8.498 μm, D90 = 23.941 μm). Combined with TG-DSC, XRD, and pore property test results, the 2 h ground powder delivers the most concentrated heat release during low-temperature combustion. This concentrated heat release is inferred to promote high-temperature mineral phase reconstruction and liquid phase formation, thereby generating a dense ceramsite structure featuring low apparent porosity, high closed porosity and excellent mechanical performance (water absorption: 2.99 ± 0.44%; compressive strength: 15.12 ± 0.43 MPa). When the grinding time is extended to 3 h, the particle size distribution broadens, and both the particle size distribution curve and the DSC curve show shoulder peaks, indicating dispersed heat release. Extending grinding time from 3 h to 4 h appears to induce fine-particle agglomeration with heat release becoming more dispersed and decreasing reaction degree, leading to an uneven temperature distribution and deteriorated ceramsite performance.