Sustainable building material design relies mostly on energy saving processes, decrease of raw materials consumption, and increase of waste and by-products recycling. Natural and lightweight artificial aggregates production implies relevant environmental impact. This paper addresses both the issues of residues recycling and energy optimization. Particularly, three coal combustion wastes (Weathered Fly Ash, WFA; Wastewater Treatment Sludge, WTS; Desulfurization Device Sludge, DDS) supplied by the Italian electric utility company (ENEL) have been employed in the manufacture of cold bonded artificial aggregates. Previously, the residues have been characterized in terms of chemical and mineralogical compositions, water content, particle size distribution, and heavy metal release behavior. These wastes have been used in the mix design of binding systems with the only addition of lime. Finally, the artificial aggregates have been submitted to physical, mechanical, and leaching testing, revealing that they are potentially suitable for many civil engineering applications.