The invention discloses a sorting device and sorting process for mineral substance hard to mill in circulating load of a coal mill. According to the sorting device, a lower end outlet of a pulverized coal separator of the coal mill is connected with an inlet of a collecting device, and an outlet of the collecting device is connected with a feeding inlet of an active pulsing air dry sorting device through a pipeline. A sorting medium inlet end and a discharging outlet for the mineral substance hard to mill are arranged at the bottom of the active pulsing air dry sorting device. A pulverized coal particle outlet is formed in the top of the active pulsing air dry sorting device. The sorting medium inlet end is connected with a sorting medium source. The discharging outlet for the mineral substance hard to mill is used for discharging the mineral substance hard to mill. The pulverized coal particle outlet is connected with the feeding end of a cyclone separator, and the discharging end of the cyclone separator is connected with an inlet of a coal feeder. An outlet of the coal feeder is connected with the coal mill, and therefore the mineral substance hard to mill and newly-fed materials enter the coal mill together to be ground again. Through the process of the sorting device, integration of grinding, sorting and classifying is achieved, and the purposes that the circulating ratio and grinding energy consumption are lowered, equipment abrasion and boiler corrosion are reduced, operation efficiency is improved and pollution emission is reduced are finally achieved.