The invention provides a method for combined exploitation of coal and its associated oil shales. The method comprises the construction steps that when the coal and its associated oil shales are located in a reasonable exploitation bed separation distance range, coal resources located at the lower portion are firstly exploited, a mine bearing pressure is fully utilized to destroy associated oil shales located in an overlying rock layer and reduce the strength; then, the associated oil shales at the upper portion are exploited later to achieve combined exploitation of coal and its associated oil shales. Therefore, the shortcoming that when oil shales are independently exploited, the oil shale strength is higher and accordingly a coal cutter difficultly break rocks can be overcome. According to the exploitation method, existing infrastructures and sinking and driving engineering can be fully utilized, the roadway tunneling amount can be decreased, investment can be reduced, the costs are low, the phenomenon that the oil shales associated with coal are severely abandoned can be effectively completely eradicated or decreased, the resource utilization rate can be improved, an economic value is huge, and the method has the important practical significance on relieving of conventional energy source supply and demand pressure, energy structure adjustment and energy guaranteeing.