Cenospheres are hollow particles in fly ash, a by-product of coal burning, and are widely used as a reinforcement when developing low-density composites called syntactic foams. This study has investigated the physical, chemical, and thermal properties of cenospheres obtained from three different sources, designated as CS1, CS2, and CS3, for the development of syntactic foams. Cenospheres with particle sizes ranging from 40 to 500 μm were studied. Different particle distribution by size was observed, and the most uniform distribution of CS particles was in the case of CS2: above 74% with dimensions from 100 to 150 μm. The CS bulk had a similar density for all samples and amounted to around 0.4 g·cm−3, with a particle shell material density of 2.1 g·cm−3. Post-heat-treatment samples showed the development of a SiO2 phase in the cenospheres, which was not present in the as-received product. CS3 had the highest quantity of Si compared to the other two, showing the difference in source quality. Energy-dispersive X-ray spectrometry and a chemical analysis of the CS revealed that the main components of the studied CS were SiO2 and Al2O3. In the case of CS1 and CS2, the sum of these components was on average from 93 to 95%. In the case of CS3, the sum of SiO2 and Al2O3 did not exceed 86%, and Fe2O3 and K2O were present in appreciable quantities in CS3. Cenospheres CS1 and CS2 did not sinter during heat treatment up to 1200 °C, while sample CS3 was already subjected to sintering at 1100 °C because of the presence of a quartz phase, Fe2O3 and K2O. For the application of a metallic layer and subsequent consolidation via spark plasma sintering, CS2 can be deemed the most physically, thermally, and chemically suitable.