Recent studies have reported that Fenton sludge and biochemical sludge contain high concentrations of toxic substances and heavy metals (HMs), whereas improper treatment can pose serious threats to environmental safety. Pyrolysis is considered an efficient technology to replace conventional sludge treatment. This study investigated the pyrolysis and kinetic processes of Fenton sludge and biochemical sludge, revealed the physicochemical properties of sludge biochar, and highlighted the role of co-pyrolysis in sludge immobilization of HMs and environmental risks. Results showed that Fenton sludge and biochemical sludge underwent three stages of weight loss during individual pyrolysis and co-pyrolysis, especially co-pyrolysis, which increased the rate of sludge pyrolysis and reduced the decomposition temperature. The kinetic reaction indicated that the activation energies of Fenton sludge, biochemical sludge, and mixed sludge were 11.59 kJ/mol, 8.50 kJ/mol, and 7.11 kJ/mol, respectively. Notably, co-pyrolysis reduced the activation energy of reactions and changed the specific surface area and functional group properties of the biochar produced from sludge. Meanwhile, co-pyrolysis effectively immobilized Cu, Pb, and Zn, increased the proportion of metals in oxidizable and residual states, and mitigated the environmental risks of HMs in sludge. This study provided new insights into the co-pyrolysis properties of sludge biochar and the risk assessment of HMs.