The deep coal seam is the ideal place for CO2 geological storage, and its permeability is the key index to evaluate the geological storage ability. In this study, permeability tests on coal samples under triaxial stress were conducted. Combined with nuclear magnetic resonance and x-ray diffraction tests, the physical modification mechanism of coal sample under the action of water–CO2 and its effect on permeability were discussed. The results indicate that, due to effective stress and adsorption expansion, the internal pores of the coal samples are compressed and closed, resulting in narrower seepage channels. Under varying effective stress conditions, the permeability of coal samples with different moisture contents decreases before CO2 adsorption, after CO2 adsorption, and after CO2 desorption, as moisture content increases. However, due to competitive adsorption between water and CO2, the permeability of coal samples after CO2 injection is lower than that before injection. Under the combined effects of water and CO2, the coal matrix experiences complex interactions leading to mineral dissolution, precipitation accumulation, and changes in the composition and pore structure of the coal samples. After CO2 desorption, the permeability of coal samples exhibits an “M”-shaped change with increasing moisture content. The permeability of samples with 5.6% moisture content was lower than that before CO2 injection, whereas the permeability of other samples increased. The sample with moisture content of 2.8% showed the highest permeability, with the largest proportion of mesopores and macropores providing seepage channels. In contrast, the sample with moisture content of 5.6% had a reduced macropore volume proportion, making macropores the dominant factor in permeability. Based on these findings, a permeability model for coal samples was derived and its accuracy verified. The study reveals the influence mechanism of adsorption expansion, effective stress, and moisture content on the permeability of coal samples.