Coal combustion may release toxic arsenic into the environment, which seriously threatens human health and ecological safety. Fly ash shows its potentials as an arsenic sorbent in its low cost and no adverse impacts on reutilization but limits in its adsorption capacity for arsenic. On the basis of the iron component in fly, ash possessing an obvious effect on arsenic removal, this study tries to isolate ferrospheres with an enriched iron (Fe) content directly from fly ashes for an improved arsenic adsorption. The wet magnetic separation is found to be an effective way to extract ferrospheres with a higher Fe content from fly ashes; it can significantly enrich the iron content to 50% (by weight) in ferrospheres. The comparison of arsenic capture by ferrospheres and fly ashes was made experimentally in a simulated flue gas at 873 K. Results show the Fe-enriched ferrospheres can achieve a higher removal efficiency of 42.75% in this study, which is almost twice that of the raw ashes. With the temperature increasing from 573 to 1073 K, the arsenic capture by ferrospheres was enhanced initially but then decreased. It is likely that the condensation/physical adsorption predominates in temperatures ranging between 573 and 723 K, while the chemical adsorption predominates at further higher temperatures. It is found that the optimal temperature to maintain a high arsenic capture efficiency using ferrospheres is around 873 K. Further investigation based on X-ray diffraction and X-ray photoelectron spectroscopy spectra of the ferrospheres before and after the adsorption reaction confirms that the major contributor to arsenic capture by ferrospheres is the Fe active component in them rather than Si, Al, and Ca compositions.