In this paper, the extraction residue of direct coal liquefaction residue-DCLR(ER) was used as raw material. The high-temperature reaction mechanism of Mo compound in DCLR(ER) was investigated using a synchronous thermal analyzer and the Factsage database. The high temperature reaction of DCLR(ER)-MoO3 in an oxygen atmosphere consists of pyrolysis of organic components at 400–600 °C, molybdenum trioxide sublimation at 747–1200 °C, and a stable stage at 600–747 °C. The thermal reaction process of the DCLR(ER)-MoS2 system in the oxygen atmosphere involves the pyrolysis of unreacted coal and asphaltene, the oxidation of molybdenum sulfide at 349–606/666 °C, the diffusion of MoO3 at 606/666–85 °C, and the sublimation reaction process of MoO3 at 854–1200 °C. The results show that the lower heating rate can promote the oxidation of the Mo compound and the sublimation of molybdenum trioxide. On the other hand, the oxides of aluminum, calcium, and iron in DCLR(ER) can inhibit the oxidative pyrolysis efficiency of the DCLR(ER)-MoS2 system.