Activated carbon pellets have been prepared by extrusion of a mixture of oxidized coal and KOH, followed by a carbonization process. Three coals with several ranks (semi-anthracite, sub-bituminous, and lignite) have been selected as carbon precursors and oxidized with different treatments (HNO3, H2O2, and air treatment). The coal rank, oxidation conditions, and coal/KOH ratio are important parameters to obtain activated carbon pellets. It has been deduced that the formation of a suitable pelletizable slurry from oxidized coals is obtained when two conditions come together: (i) the presence of an appreciable amount of surface oxygen groups and (ii) the use of a KOH solution. The best results have been obtained using sub-bituminous coal, air oxidation at 200 °C for 48 h, and KOH solution between 10 and 20 wt %. Under these conditions, activated carbon pellets can be obtained, avoiding the use of a binder. The obtained samples are essentially microporous materials, showing a narrow micropore size distribution, which make them interesting for CH4/CO2 separation.