A novel photocatalyst with core@shell structure was prepared by alternately assembling titania nanosheets (TNS) and reduced graphene oxide (r-GO) on coal fly ash (CFA) microspheres via the layer-by-layer (LBL) assembly approach. The as-prepared samples CFA@(r-GO/TNS)(n) were characterized by SEM, HRTEM, XRD, FTIR, Raman, XPS, UV-vis, PL and their photocatalytic activities were evaluated by the photodegradation of methylene blue (MB) under UV irradiation. The results showed that TNS and r-GO wrapped on the surface of CFA alternately and tightly, which was very helpful not only to avoid the detachment of TNS and r-GO from the surface of CFA in the progress of using, but also to reduce the recombination of photogenerated electrons and holes due to excellent mobility of charge carriers on the surface of r-GO. The layer number of wrapped r-GO/TNS was found to be an important factor in the photocatalytic activity of composite. In our experimental conditions, CFA@(r-GO/TNS)(8) presented the best photocatalytic activity, and the degradation efficiency of MB was improved to 55% from 32% of CFA@(r-GO/TNS)(2). The improvement could be attributed to several advantageous factors by introduction of r-GO, such as the fast charge-carrier transfer, the reduction of the charge recombination rate, the improved light harvesting and the larger specific surface area.