In this study, enrichment methods for coal fly ash (CFA) from Omsk thermal power station No. 4 (TPS-4) were investigated. The magnetite and unburned carbon concentrates were obtained by magnetic separation and flotation methods. The wet magnetic separation used in the study increased the magnetite content in the magnetic fraction from 10.48 to 12.72 wt % compared to dry magnetic separation. The XRD analysis showed that the magnetic fraction primarily consists of magnetite, mullite, and quartz. The SEM analysis demonstrated that magnetite is located primarily on the surface of alumosilicate spheres and has three types of shape: dendritic structures, hexagonal bulk agglomerates, and star-like structures. For the flotation tests, a low-price diesel was used as the collector. It was found that, if CFA particles of 40–71 µm are used, ~99% of unburned carbon can be recovered. It was also found by SEM that, if CFA particles of 71–100 µm are used, alumosilicates on a carbon surface prevent complete interaction of diesel with carbon particles and decrease thereby carbon recovery to 83%.