In order to more easily separate TiO₂ photocatalyst from treated wastewater, TiO₂ photocatalyst is immobilized on coal fly ash by precipitation method. The titanium hydroxide precipitated on coal fly ash by neutralization of titanium chloride is transformed into titanium dioxide by heat treatment in the temperature range of 300-700 ℃. The crystalline structure of the titanium dioxide shows anatase type in all ranges of heat treatment temperature. The crystal size of anatase increases with increasing heat treatment temperature, with the drawback being the lower removal ability of NO gas. When the coal fly ash coated with 10 wt% of TiO₂ was calcined at 300 and 400 ℃ for 2 hrs, the average crystal size of anatase appeared about 9 nm, and the removal rates of NO gas were 63 and 67.5%, respectively. The major iron oxide, existing in coal fly ash as impurity, is magnetite (Fe₃O₄). Phase transformation of magnetite into hematite (Fe₂O₃) by heat treatment improves the removal rate of NO gas for TiO₂-coated coal fly ash.