The invention relates to a miniature high-pressure reactor experiment device for coal hydro-liquefaction and an experiment method thereof. The device comprises a miniature high-pressure reactor, a support and a salt bath furnace, wherein the miniature high-pressure reactor comprises a miniature high-pressure reactor body, a high-pressure reactor cover and an agitating system, and the volume of the miniature high-pressure reactor is from 100ml to 200ml; the miniature high-pressure reactor is fixedly suspended on the support through the high-pressure reactor cover; the salt bath furnace is located below the miniature high-pressure reactor and is used for indirectly heating the miniature high-pressure reactor body by heating fused salt through an electric heating furnace tube, and the salt bath furnace is arranged on an elevating platform. The invention comprehensively considers the accuracy parameters of a coal hydro-liquefaction intermittent high-pressure reactor experiment in a laboratory capable of rapidly heating, such as volume of the high-pressure reactor, reaction heating rate, temperature control and the like. Compared with the prior art, the invention associates the accuracy of experiment data to the heating rate together for the first time and has high accuracy and simple operation.