An ultrasound-assisted heterogeneous catalytic oxidation process was applied to eliminate sulfur from commercial diesel fuel oil. The studied variables were catalyst concentration, type of catalyst (homogeneous or heterogeneous), oxidizing agent concentration, and the application of ultrasound energy. Supported catalysts were prepared by impregnation of coal fly ash with an iron(II) sulfate aqueous solution using ultrasound energy. After drying, the catalyst was calcined at 500 °C for 4 h. The oxidizing agent was hydrogen peroxide. Ultrasound energy was applied with a frequency of 47 kHz and an intensity of 147 W. Ethanol was employed for extracting the oxidized compounds from the hydrocarbon mixture. Coal fly ash and ethanol were used with the purpose of applying low-cost raw materials in chemical processes. It was found that under the studied conditions, increasing oxidizing agent concentration and the application of ultrasound energy can enhance the sulfur removal from commercial diesel fuel oil. Catalyst concentration did not play a significant role in the process. Similar results were obtained using homogeneous or heterogeneous catalyst, which is important since the heterogeneous catalyst could be recovered, reactivated, and used in many cycles.