Pyrite and fly ash have certain advantages in adsorption and mercury oxidation. The pyrite-modified fly ash (PY + AC-FA) mercury adsorbent was prepared by mixing pyrite (PY) with acid-modified fly ash (AC-FA), which has better mercury removal effect than AC-FA. The experimental results of mercury adsorption show the following: when the reaction temperature is 50 °C, the best doping proportion of modified fly ash is 20 wt%, the mass proportion of pyrite to acid-modified fly ash is 4:1, and the flue gas flow rate is 1.0 L/min; the adsorbent has the best performance, and the adsorption rate of mercury reaches 91.92%. It was also found that the quasi-second-order kinetic model could describe the entire process of adsorption, and its adsorption process was mainly influenced by chemisorption. XRF, BET, SEM, XRD, and TG-DSG were used to characterize these adsorbents, and the mechanism of mercury removal of pyrite-modified fly ash adsorbent is inferred: Hg0 is first adsorbed on the surface of the adsorbent, and then oxidized to HgS by the active component FeS2 in pyrite-modified fly ash.