A novel compressed air energy storage (CAES) system has been developed, which is innovatively integrated with a coal-fired power plant based on its feedwater heating system. In the hybrid design, the compression heat of the CAES system is transferred to the feedwater of the coal power plant, and the compressed air before the expanders is heated by the feedwater taken from the coal power plant. Furthermore, the exhaust air of the expanders is employed to warm partial feedwater of the coal power plant. Via the suggested integration, the thermal energy storage equipment for a regular CAES system can be eliminated and the performance of the CAES system can be improved. Based on a 350 MW supercritical coal power plant, the proposed concept was thermodynamically evaluated, and the results indicate that the round-trip efficiency and exergy efficiency of the new CAES system can reach 64.08% and 70.01%, respectively. Besides, a sensitivity analysis was conducted to examine the effects of ambient temperature, air storage pressure, expander inlet temperature, and coal power load on the performance of the CAES system. The above work proves that the novel design is efficient under various conditions, providing important insights into the development of CAES technology.