Pyrolysis is a promising thermochemical conversion technology, which can convert biomass and cellulose into value-added products. Herein, a new approach of oxalic acid-assisted staged fast pyrolysis (OASFP) of cellulose was developed, achieving the coproduction of 1,4:3,6-dianhydro-α-D-glucopyranose (DGP), furfural (FF), and formic acid (FA) in separated pyrolysis stages. The lab-scale tests demonstrated that a selectivity of 71.6% and a yield of 31.5 wt % for FA in the aqueous phase, as well as a selectivity of 55.6% and a yield of 1.2 wt % for FF in the organic phase, were achieved in the primary pyrolysis stage under the optimized conditions (primary pyrolysis temperature of 220 °C and cellulose-to-oxalic acid (OA) ratio of 1:3). During the subsequent secondary pyrolysis process at 400 °C, the decomposition of the solid residue achieved a yield of 7.2 wt % and a selectivity of 32.7% for DGP. The interaction between OA and cellulose during the primary pyrolysis stage was essential for DGP generation. The formation mechanism of major products and the role of OA were revealed based on experiments and density functional theory calculations. In total, the OASFP of cellulose offers new possibilities and opportunities for biomass utilization.