Coal fly ash samples are known to contain magnetic components. In this work we report the results of a first detailed study in which the nature and concentrations of the magnetic components have been measured as a function of particle size. Five bituminous coal fly ash samples were size-fractioned with sieves and a sieve shaker into 10 fractions each. Using temperature-dependent magnetic measurements and powder x-ray diffraction studies, it is established that the samples contain magnetite (Fe/sub 3/O/sub 4/) and haematite (..cap alpha..-Fe/sub 2/O/sub 3/). About half the mass and magnetic components are contained in the fraction with the smallest particles (diameter < 38 ..mu..m). Since the magnetization M for ..cap alpha..-Fe/sub 2/O/sub 3/ (at 7 kOe) approx. = 1/250 (the saturation magnetization M/sub s/ for Fe/sub 3/O/sub 4/), it follows that the measured M/sub s/ is mainly due to Fe/sub 3/O/sub 4/. The variation of M/sub s/ with particle size then simply reflects the relative abundance of Fe/sub 3/O/sub 4/ in various fractions. A correlation between all the observations is established, thus, providing useful information about the combustion conditions of fly ash. Possible applications of these results are outlined.