The invention discloses a method for recovering valuable components from metallurgical solid waste through coating, and relates to the technical field of metallurgical solid waste resource utilization. The method comprises the following steps that metallurgical solid waste powder A is prepared into inner-layer pellets, wherein omega Zn is more than or equal to 3% in the metallurgical solid waste powder A, the mole ratio of C to Zn is k:1, and k is more than or equal to 1 and less than or equal to 5; and then metallurgical solid waste powder B is wrapped around the surfaces of the inner-layer pellets to form a coating layer. In the method, the coating layer is formed through the metallurgical solid waste powder B to be wrapped around the outer surfaces of the inner-layer pellets made of themetallurgical solid waste powder A, the coating layer can play a role in blocking and conducting heat on the inner-layer pellets, on one hand, the coating layer can form a reducing atmosphere at theinner-layer pellets, on the other hand, the coating layer can enable the inner-layer pellets to keep the relatively high temperature, and then reduction and recovery of the heavy metals such as zinc in the inner-layer pellets can be promoted.