Some potentially harmful trace elements, such as Sb, As, and Hg, are usually associated with pyrite in coals and can be threats to the environment and human health. In this study, the release of 12 selected elements generally associated with pyrite was investigated during heat treatment in a tube furnace to access their behavior during combustion. FactSage has been used to calculate their behavior with the increase in temperature. Nickel, Cu, Zn, Cr, and Cd are more enriched in the samples containing syngenetic pyrite than in other samples. Other elements are generally more enriched in the samples containing epigenetic pyrite than in other samples. The volatilization of elements with a very high volatility, such as Hg and As, was complete at high temperatures in most samples. For other most elements in this study, the volatilization of a specific element in different samples is generally different. During heat treatment, the selected elements, according to their volatilization, can be classified into three groups: low, medium, or high volatility. At the conditions of this study, the volatilization of trace elements is influenced strongly by their inherent volatility, moderately by their modes of occurrence, and weakly by the pyrite types. The volatility-based behavior of the selected trace elements in FactSage calculation is generally consistent with their classification during heat treatment.