This study developed a kind of non-sintered core-shell type ceramsite using expandable polystyrene (EPS) particles as the core, and the mixture of waste soil residual clay-geopolymer as the shell. The influences of the mix proportion of shell, the interfacial treatment agent type of EPS, core particle size, and shell thickness on the properties of the ceramsite were investigated. Subsequently, two types of ceramsites with distinct density grades were used to replace all natural coarse aggregates in the production of concrete, examining their effects on the physical and mechanical properties of the resulting concrete. The test results show that the strength of shell, core particle size, and shell thickness significantly impact the bulk crushing strength, bulk density, and water absorption of the ceramsite. In addition, the interfacial treatment agent of EPS also has great influence on the bulk crushing strength of the ceramsite. The performance of the optimal non-sintered ceramsite reaches the performance level of 900 grade sintered high-strength ceramsite. The employment of EPS particles as the core material effectively reduces the density of the non-sintered ceramsite, but the decrease in the bulk crushing strength of the ceramsite is more pronounced, thus it is not economical for preparing lightweight ceramsite below 800 grade. Furthermore, the incorporation of EPS and residual clay into the concrete reduces its thermal conductivity, enabling the ceramsite concrete to simultaneously satisfy the requirements of lightweight, load-bearing, and thermal insulation, while providing a new path for the environmentally friendly disposal of residual clay separated from engineering waste soil.