The thermochemical and kinetic behavior of co-combustion of coal, municipal sludge (MS) and their blends at different ratios were investigated by thermogravimetric analysis. Simulation experiments were performed in a vacuum tube furnace to determine the conversion behavior of toxic elements. The results show that the combustion processes of the blends of coal and municipal sludge are divided into three stages and the combustion curves of the blends are located between those of individual coal and municipal sludge samples. The DTGmax of the sample with 10% sludge addition reaches a maximum at the heating rate of 20 °C/min, indicating that the combustion characteristics of coal can be improved during co-combustion. Strong interactions were observed between coal and municipal sludge during the co-combustion. The volatilization rates of toxic elements decrease with an increasing proportion of sludge in the blends during co-combustion, which indicates that the co-combustion of coal and sludge can effectively reduce the volatilization rate of toxic elements. The study reflects the potential of municipal sludge as a blended fuel and the environmental effects of co-combustion of coal and municipal sludge.