The invention provides a coal liquefaction method, and the method comprises the following steps: (1) carrying out solvent thermal extraction pre-treatment on raw materials of coal; (2) carrying out thermal state solid-liquid separation; (3) concentrating the liquid part for obtaining ultra-pure coal slurry; or carrying out back extraction on the liquid part for preparing solid ultra-pure coal, and mixing with a thermal extraction solvent for preparing ultra-pure coal slurry; and (4) carrying out liquefaction reaction on the ultra-pure coal slurry for obtaining a coal liquefied oil product, wherein, the thermal extraction solvent is a liquid product obtained by carrying out hydrogenation treatment on the coal liquefied oil, such as the liquid products obtained by carrying out the hydrogenation treatment on coal liquefied light oil, coal liquefied middle oil and/or coal liquefied heavy oil, a coal liquefaction hydrogenation circulating solvent, or the mixture thereof. The method can reduce hydrogen consumption during the liquefaction process, water yield and gas yield, reduce wear on coal liquefaction equipment and be conductive to realizing the recycling of a coal liquefaction catalyst. The method can adopt any traditional liquefaction process and be conductive to saving energy consumption.