Mercury is one of harmful components in the fly ash. This work took lignite fly ash from a power plant in Inner Mongolia as the research object. The occurrence state of mercury in fly ash was studied by means of X-ray fluorescence spectrometer (XRF), X-ray diffractometer (XRD) and inductively coupled plasma mass spectrometer (ICP-MS), combined with thermodynamic calculation, heat treatment and continuous leaching. The thermodynamic calculation results for possible reactions of mercury with other substances in the flue of coal-fired power plants indicated that the possible forms of mercury in fly ash included HgCl2, HgO, HgS and HgSO4. The heat treatment results showed that the mercury content in fly ash gradually decreased with the increase of temperature. When the temperature reached 500℃, mercury had been volatilized more than 90%. In order to further determine the form of mercury in fly ash, according to the nature of each mercury compound, the continuous leaching method was used to quantitatively analyze the mercury compounds in fly ash. The results showed that the forms of mercury in fly ash was mainly HgCl2 and HgS, which accounted for about 35% and 42% of the total mercury, respectively. Studying the specific occurrence state of mercury in fly ash was extremely important for the subsequent removal of mercury from fly ash and improving its comprehensive utilization.