Cenospheres from coal fly ashes were used as support in the preparation of Ni–Mg catalysts for dry reforming of methane. These materials were characterized by means of XRD, H2-temperature-programmed reduction (H2-TPR), CO2-temperature-programmed desorption (CO2-TPD), and low-temperature nitrogen sorption techniques. The cenosphere-supported catalysts showed relatively high activity and good stability in the dry reforming of methane (DRM) at 700 °C. The catalytic performance of modified cenospheres was found to depend on both Ni and Mg content. The highest activity at 750 °C and 1 atm was observed for the catalyst containing 30 wt % Mg and 10, 20, and 30 wt % Ni, yielding to CO2 and CH4 conversions of around 95%.