Mullite ceramic membrane is considered as microfiltration membrane suitable for oil-water (O/W) emulsion wastewater treatment. This study presented a facile sintering approach to prepare mullite ceramic membrane from coal fly ash. Various characterization techniques, such as X-Ray Diffraction (XRD), Scanning Electron Microscope (SEM), shrinkage and apparent porosity, bending strength etc. were used to reveal the effect of MoO3 addition and sintering temperature on ceramic membrane. At sintering temperature 1300 °C, adding 5 wt% MoO3, the apparent porosity of membrane is 46.04%, the bending strength is 32.11 MPa, and the average pore size is 0.190 μm. Finally, whisker mullite ceramic membranes were applied for deep treatment of oily wastewater. As-synthesized ceramic membrane exhibits excellent permeate flux (391.10 L·m−2·h−1) and oil rejection (97%) for separation of O/W emulsion. The membrane fouling is mainly controlled by cake filtration mechanism. Meanwhile, the ceramic membranes show good regeneration performance and acid and alkali resistance. This study provides theoretical and technical support for preparation of whisker mullite ceramic membranes from fly ash and deep treatment of oily wastewater.