Ethanolysis is an effective method to depolymerize weak bonds in lignite under mild conditions, which can result in the production of high-value-added chemicals. However, improving ethanolysis yield and regulating its resulting product distribution is a big challenge. Hence, exploiting highly active catalysts is vital. In this work, Fe2(MoO4)3 catalysts with zero-dimensional nanoparticles, one-dimensional (1D) nanorods, two-dimensional (2D) nanosheets, and three-dimensional (3D) nanoflower structures were successfully prepared and applied in the ethanolysis of Naomaohu coal. The results showed that for all samples, the yield of ethanol-soluble portions (ESP) was significantly improved. The highest yield was obtained for the Fe2(MoO4)3 nanorods, with an increase from 28.84% to 47.68%, and could be attributed to the fact that the Fe2(MoO4)3 nanorods had a higher number of exposed active (100) facets. In addition, the amounts of oxygen-containing compounds, such as ethers, esters, and phenols, increased significantly. The mechanism of ethanolysis catalyzed by the Fe2(MoO4)3 nanorods was also studied using phenylbenzyl ether (BOB) as a model compound. BOB was completely converted at 260 °C after 2 h. It is suggested that Fe2(MoO4)3 nanorods can effectively break the C-O bonds of coal macromolecules, thus promoting the conversion of coal.