Coal fly ash (CFA), the main byproduct of coal combustion, has been regarded as an attractive source of rare earth elements plus yttrium (REY). Understanding how REY occurs in CFA is essential for designing an effective method for recovery of REY from CFA. To clarify the modes of occurrence of REY, we used particle size analysis, a sequential chemical extraction procedure (SCEP), and a scanning electron microscope with an energy dispersive spectrometer (SEM-EDS) to study REY in CFA from Guizhou Province, China. The relationship between the content of REY and particle size was consistent with previous results and implies that particle separation can be used to enrich the chemical extraction of REY from CFA. The results of the SCEP revealed the proportions of REY in different modes (silicate-aluminate > organic or sulfide > acid soluble > metal oxides > ion-exchangeable form) and can also be used as a guide for reagent choice in REY leaching and extraction. The results of the SEM-EDS analysis showed that REY in the CFA (La, Ce, and Nd as proxies) is significantly associated with Al and P. They also illustrated that Al has a more important role in REY occurrence than Si in aluminosilicates.