Abstract: In China, coal gangue is a large industrial solid waste with considerable reserves. However, its application prospects in the field of concrete materials have been limited due to its poor physical properties. Precoating is commonly used to improve the performance of gangue aggregates. To further enhance the effectiveness of precoating treatment and determine the evolution of pores after aggregate coating, cement slurries (CM), slag and cement slurries (SL–C), and silica fume and cement slurries (SF–C) were designed in this study as three types of composite cementitious material slurries. The macroscopic physical property variations of coal gangue aggregate (CGA) treated with composite cementitious materials were analyzed. By employing a combined macroscopic and microscopic analysis approach, the influence of composite cementitious materials on the mechanical properties, microstructure, and pore structure of CGC was investigated. The results indicated that the ratio of cementitious materials to CGA was positively correlated with the particle size range, and the optimal ratio of CGA to cementitious materials could be adjusted according to the particle size distribution. SF–C and SL–C showed better improvement effects on the physical properties of CGA compared to CM. When the SF content was 10%, the proportion of large pores in CGC was minimized, and the strength was maximized. At this point, the Si element within the ITZ significantly increased, resulting in the formation of more C–S−H gel. CM, SL–C, and SF–C refined the pore structure of CGC, and the refinement effect was positively correlated with the pore radius, with the improvement pattern of pore structure being consistent with compressive strength. Pre-coating improves the mechanical strength and pore structure of CGC and promotes its application in practical engineering.