The chlorination-volatilization process has been adopted to make full use of gold-bearing and iron-rich pyrite cinder. However, problems of low recovery rate, pulverization of pellets, and ring formation have been encountered during the industrialization of this process. The effects of various parameters on the volatilization rates of valuable metals and on the compressive strength of roasted pellets were investigated in this paper. The parameters include the CaCl2 dosage, heating temperature, and holding time. The results show that heating temperature is the most important parameter for the recovery of target metals. More CaCl2 was needed for the recovery of zinc than for the recovery of gold, silver, and lead. CaCl2 started to react with sulfides/SO2/SiO2 at temperatures below the melting point of CaCl2 to generate Cl-2/HCl. Gaseous CaCl2 was formed at higher temperatures and could react with any of the components. The compressive strength of roasted CaCl2-bearing pellets first decreased slowly with increasing temperature at temperatures lower than 873 K, which could result in the pulverization of pellets during heating. Their compressive strength increased dramatically with increasing temperature at temperatures greater than 1273 K. Certain quantities of CaCl2 and Fe(II) could improve the compressive strength of the roasted pellets; however, the addition of excessive CaCl2 decreased the compressive strength of pellets.