The invention relates to a method for processing coal and petroleum together and comprises the following steps: (1) coal power and solvent oil are prepared into coal slurry; (2) the coal slurry is done with hydrogenation reaction and lytic reaction; (3) petroleum products are done with the hydrogenation reaction after the products in the step (2) are done with solid-removing; (4) fraction with the temperature of 350-520 DEG C in the fraction of the step (3) products is taken as the solvent oil circularly; wherein, the solvent oil of the step (1) further comprises residual oil from the petroleum and the naphthenic base residual oil is the best. By adopting the method of the invention, the residual oil can be transformed fully, the density of the coal slurry keeps high and the fuel production rate of high quality engines can be improved.