To produce the non-calcine type artificial lightweight aggregate at low cost and efficiently by using a coal ash generated from a coal thermal power station or a coal-firing boiler, etc., as a starting material.

Coal ash and calcium oxide and/or calcium hydroxide, preferably moreover, calcium sulfate and/or cement are mixed, and a ground product is obtained by grinding so that average particle size may be ≤30 μm, and the ground product is subjected to steam aging after forming at need. Further, an addition of the calcium oxide and/or calcium hydroxide, calcium sulfate and cement are respectively 1-50 wt.%, expressed in terms of CaO, 0.5-10 wt.%, expressed in terms of CaSO4 and 1-50 wt.% preferably per ground product from a viewpoint of a strength of the aggregate and an effective utilization of the coal ash.