The feasibility of recycling red mud waste by its direct transformation into highly-porous cellular ceramics was successfully demonstrated. Ceramic materials with designed cellular porosity were processed by emulsification of red mud suspensions with liquid paraffin. Taguchi method was used to study the effects provided by varying the red mud load in the suspension, gelatine content and emulsion stirring time on the micro structural features of the cellular ceramics. Additional experiments analysed the effects of the organic to suspension ratio and firing temperature. Emulsification of paraffin followed by gelatine consolidation, drying, elimination of the droplets of the discontinuous organic phase and firing, allowed one to design cellular ceramic pieces with open porosity up to 75%, consisting in interconnected cells with adjustable cell size and low resistance to percolation. These results allow one to consider prospective applications of red mud-based cellular ceramics with designed microstructures as highly-porous membranes for the capture of pollutants.