Nickel slag and blast furnace dust comprise a large part of solid waste produced by the metallurgical industry. In this study, a novel method of co-reduction roasting followed by grinding/magnetic separation was proposed to collaboratively reutilize nickel slag and blast furnace dust. The nickel slag was combined with blast furnace dust to produce a Ni-Fe alloy containing Cu component by using the proposed method. In addition, the blast furnace dust acted not only as a reductant but also as an Fe resource. Results in this work showed that 81.62% Fe and 89% Ni could be recovered from nickel slag and blast furnace dust, and a Ni-Fe alloy product with 93.03 wt% Fe, 0.86 wt% Ni, and 0.49 wt% Cu could be obtained under optimal conditions in this study. The effect of roasting temperature on phase transformation was characterized and analyzed by XRD and SEM-EDS. The results illustrated that roasting temperature was considered as the main influence to regulate the mineral phase transformation and microstructural change in roasted product. The minerals in the nickel slag finally transformed iron and augite from fayalite containing magnesium and magnetite after the disappearance/transformation of the mineral phase. The Fe-bearing minerals were first reduced in situ position of structure into metallic Fe particles and then grown into a Ni-Fe alloy with Cu of chain structure. The new structure, instead of the original structure, formed the homogeneous slag phase and Ni-Fe alloy with Cu component.