The invention relates to a methanation device and process for synthesizing high-quality natural gas produced by coal. The methanation device is a multi-grade circulation external heat-transfer methanation device and is characterized in that a first grade device is a primary methanation device and a second grade device is an auxiliary methanation device; the primary methanation device and the auxiliary methanation device are connected; a gas circulating system is arranged between the primary methanation device and the auxiliary methanation device; the methanation device further comprises a heat recycling system; the primary methanation device is used for introducing a raw material gas; the auxiliary methanation device is used for introducing carbon dioxide; the methanation process is mainly used for adding a carbon dioxide gas in a working section of the auxiliary methanation device without increasing the thermal load of a primary methanation process; the system is easy to control, the methane product is high, the whole methanation process is guaranteed to be lightly affected by the front process, and the product quality is stable.