In this study, three coal samples (long flame coal/LFC, coking coal/CC, and anthracite/AC) from the same coal seam in Huaibei coalfield were simulated using in-situ Fourier transform infrared spectroscopy (FTIR) and thermogravimetry/mass spectrometry (TG/MS), respectively. The results show that with increasing coal rank, the Vdaf contents and atomic H/C and O/C ratio values of three coal samples decrease, but their calorific values increase. The absorption vibration peaks of main functional groups such as hydroxyl (–OH), aliphatic hydrocarbon (–CH2 and –CH3), aromatic hydrocarbon (C=C and CH), and oxygen-containing functional groups (C=O, C–O, and–COOH) can be observed in the infrared spectrum of three coal samples. Through the change curves of AI (Aromaticity index), CI (Condensed index of aromatic structure), and OMI (Organic maturity index) values with the final temperature of pyrolysis, there are differences in the main functional groups of three coal samples during the pyrolysis reaction. The initial temperature and the maximum mass loss rate temperature increase correspondingly as coal rank increases, but the mass loss difference and maximum mass loss rate decrease significantly. With the increase of coal rank, the initial temperature of small molecule gas (water (H2O), carbon dioxide (CO2), methane (CH4), and hydrogen (H2)) during coal pyrolysis is gradually higher. For each kind of small molecule gas, its maximum release can be affected by coal rank.