Mercury is an extremely volatile element, which is emitted from coal combustion to the environment mostly in the vapor phase. To avoid the environmental problems that the toxic species of this element may cause, control technologies for the removal of mercury are necessary. Recent research has shown that certain fly ash materials have an affinity for mercury. Moreover, it has been observed that fly ashes may catalyze the oxidation of elemental mercury and facilitate its capture. However, the exact nature of Hg-fly ash interactions is still unknown, and mercury oxidation through fly ash needs to be investigated more thoroughly. In this work, the influence of a gas atmosphere on the retention of elemental mercury on fly ashes of different characteristics was evaluated. The retention capacity was estimated comparatively in inert and two gas atmospheres containing species present in coal gasification and coal combustion. Fly ashes produced in two pulverized coal combustion (PCC) plants, produced from coals of different rank (CTA and CTSR), and a fly ash (CTP) produced in a fluidized bed combustion (FBC) plant were used as raw materials. The mercury retention capacity of these fly ashes was compared to the retention obtained in different activated carbons. Although the capture of mercury is very similar in the gasification atmosphere and N-2, it is much more efficient in a coal combustion retention, being greater in fly ashes from PCC than those from FBC plants.