The invention relates to a coal and oil coprocessing method and device. The coprocessing method comprises steps as follows: step one, oil slurry pretreatment: heavy oil, a non-hydrogenated cycling solvent and a first catalyst are mixed, oil slurry is prepared and subjected to first hydrocracking reaction, a first product is obtained and separated, and first light distillate oil and first heavy distillate oil are obtained; step two, coal and oil coprocessing, solvent oil circulation and finished product separation. The coprocessing device comprises an oil slurry pretreatment device, a coal and oil coprocessing device body, a solvent oil circulating device and an oil product quality improving device. According to the coal and oil coprocessing method and device, selectivity for the heavy oil during coal and oil coprocessing is reduced, the percentage amount of pulverized coal in a coal and oil coprocessing process is increased, and the coal and oil coprocessing method and device are more suitable for practical application.