With the growing application of sludge incineration, the thermal behavior of heavy metals during this process is increasingly a concern. This work was conducted to determine the speciation evolutions of heavy metals during sewage sludge incineration on a laboratory scale. It was found that the acid-soluble fraction of Zn was more inclined to volatilize. As for Pb and Cr, the volatilization of residual fractions and oxidizable fractions dominated, respectively. For Cu without moisture and Ni, the speciation evolutions were by the way of inner transformation. The speciation redistributions of Zn, Pb, Cr, and Cu (40% and 80% moisture) were mainly controlled by the initial volatilization. The speciation evolutions were controlled by the volatilization tendencies of different fractions and were possibly influenced by the reactions with an ash matrix. In addition, most likely, moisture promoted the formation of the acid-soluble fraction of Cu, and some residual fractions of Zn, Pb, and Cr were from hydrolyzation.