Understanding the catalytic pyrolysis mechanism of lignite is of great significance for obtaining a high yield of the target products or designing high-efficiency catalysts, which are generally derived by using simple model compounds, while the ordinary model compounds cannot represent the real atmosphere of lignite pyrolysis owing to the simple structures and single reactions. Based on the coal two-phase model, the extractable compounds are the important compositions of coal, which can reflect the partial characteristics of raw coal while obtaining a high extraction yield. Hence, a better understanding of the interaction between the coal structure and catalyst can be inferred by using a mobile phase in coal as model compounds instead of conventional simple compounds. In this work, tetrahydrofuran extracts of lignite were chosen as model compounds to study the catalytic pyrolysis mechanism with separate addition of Fe(NO3)3 and FeCl3 by using a thermogravimetric combined with mass spectrometry. It was found that about 77.88% of the extracts were vaporized before 700 °C, and the residual yield was 22.12%. With the separate addition of 5 wt % of Fe(NO3)3 and FeCl3, the conversion of the extracts increased to 84.38% and 89.66%. Meanwhile, the final temperature decreased to 650 and 550 °C, respectively. The addition of Fe(NO3)3 and FeCl3 promoted the breakage of aliphatic chains at approximately 150 °C, leading to the generation of CH4 and H2 in the temperature range 100–200 °C, which were nearly invisible for that without catalyst. The addition of iron-based catalysts allowed more CO2 formation at approximately 200 °C since they enabled efficient promotion of the cleavage of carboxyl functionals at lower temperatures. The enlarged peak of H2O and CH4 at approximately 500 °C means that iron-based catalysts are significant for the cleavage of methoxy groups in the catalytic respect. Aromatic side chains facilitated cracking at approximately 500 °C, leading to more light aliphatics and aromatics generation in this temperature range.