Dayan lignite was subjected to thermal dissolution sequentially with cyclohexane, acetone, and methanol. Each thermal dissolution extract was subjected to further separation/enrichment using column chromatography, which was sequentially eluted with petroleum ether, a mixture of ethyl acetate and petroleum ether (vol:vol = 1:1), and ethyl acetate. The three thermal dissolution extracts and nine enrichment subfractions were characterized by an Orbitrap mass spectrometry equipped with an atmospheric pressure chemical ionization ion source. The mass spectrometry data were also statistically analyzed by principal component analysis, which can reduce the dimensionality of data and classify multiple samples according to principal components. Identified compounds in the extracts and subfractions are classified into eight classes according to the heteroatom distribution. Hydrocarbon class is mainly presented in the petroleum ether fraction, and oxygen class, nitrogen class, and oxygen‐nitrogen class are distributed in both petroleum ether/ethyl acetate and ethyl acetate subfractions. The combination of different analytical methods enhances the understanding of coal at the molecular level and provides important data for downstream refining processes.