The pyrolysis characteristic of Shenhua coal and Shenhua direct liquefaction residue was studied using TG method. It is found that compared with coal, the weight loss and weight loss rate of residue are higher. The weight loss process of residue can be divided into three stages: the first is before the temperature of 173℃; the second is from 173℃ to 510℃, in which the higher weight loss is due to the pyrolysis and volatilization of oil, asphaltene and preasphaltene in residue; the third is after 510℃, in which the weight loss is continuing. Compared with the TG and DTG curve of THF extracted residue, it is found that the majority of weight loss of residue is due to the volatilization and pyrolysis of heavy oil; and compared with the TG and DTG curve of acid washed residue, it is noted the weight loss after 649℃ is mainly due to the decomposition of mineral matter and the cracking of organic compound.