A hierarchical porous carbon/silicon composite material (CSCM) was prepared through KOH activation and acid leaching using coal gasification fine slag (CGFS) as the raw material. The KOH dosage, activation temperatures, and HCl acid amount were optimized. The obtained CSCMs showed higher pore volume in the range of 0.62–0.96 cm3/g, and hierarchical porous structure with Vmicro./Vmeso. ratio in the range of 1.54–3.31. The influence of Vmicro./Vmeso. ratio of CSCM on CO2 adsorption at 0 °C was higher than that at 25 °C. Under higher specific area and pore volume, hierarchical pores with Vmicro./Vmeso. ratio in the range of 2.81–2.91 were benefit for CO2 adsorption at 0 °C. The optimized CSCM demonstrated excellent CO2 adsorption capacities of 2.96 and 4.60 mmol/g at 25 and 0 °C, respectively. CO2 adsorption on CSCM was a heterogeneous physical process, and the cycle stability was excellent. Meanwhile, CSCM was mixed with Fe-based catalyst (Fe-K/CS) for CO2/H2 catalysis. The hierarchical porous structure of CSCM improved the CO2 adsorption and H2 adsorption around the active sites, promoting CO2 conversion. The combination method of Fe-K and CSCM affected the distribution of CO2 hydrogenation products, and reasonable Vmicro./Vmeso. ratio in CSCM effectively inhibited C–C chain growth, leading to higher olefins selectivity. The Fe-0.1K/CS-P catalyst achieved a CO2 conversion rate of 21.6% and a C2=-C4= selectivity of 47.7%. This study presented a promising approach for effectively utilizing CO2 and for the sustainable valorization of industrial solid waste.