The high moisture content of lignite restricts its extensive and efficient use. Furthermore, the reabsorption of lignite is also a factor that affects lignite spontaneous combustion. Therefore, it is of great importance to study the process and mechanism of water molecule desorption and adsorption on lignite and coke (25–950°C) to achieve the clean and efficient utilization of lignite and environmental protection. Proton nuclear magnetic resonance (1H-NMR), thermogravimetric analysis, and other techniques were used in this study to explore the water molecule absorption and desorption processes of lignite pyrolysis at different temperatures (25–950°C) and the special contributions of ether bonds to water molecule adsorption. A mechanism of lignite water molecule adsorption was proposed. The results showed that ether bonds played a special role in the water molecule adsorption by pyrolyzed lignite. The ether bond content was greater in the coal samples at 300 and 950°C, which changed the trend of lignite water molecule absorption and the distribution of water (T2) detected in the 1H-NMR experiments and delayed the escape of water molecules during moisture desorption. The total amount of adsorbed water decreased first and then increased in the coal samples as the pyrolysis temperature increased. However, the maximum adsorption interactions of each coal sample increased first and then decreased. This was the result of the interactions between the pores and the oxygen-containing functional groups. Based on the above analysis, water molecule adsorption mechanism models of lignite and coke were constructed. This study offers a new approach for investigating the water molecule adsorption and adsorption mechanisms of lignite and coke.