The Turpan-Hami Basin is one of the three coal-accumulating basins in Xinjiang. There is coal, natural gas, petroleum, sandstone-type uranium ore, and other ore resources in the Jurassic strata developed inside. This study aims to gain a deeper understanding of the formation process of ore resources in the Turpan-Hami Basin by studying the provenance and depositional environment of No. 4 coal in the Sandaoling Mine. The results show that No. 4 coal is extra-low ash yield and extra-low sulfur coal. Compared with common Chinese coals and world hard coals, the trace element content in No. 4 coal is normal or depleted. The minerals in coal are mainly clay minerals, silica and sulfate minerals, and carbonates. The diagrams of Al2O3, TiO2, Sr/Y, L,a/Yb, and the REY geochemical features indicate that the Paleozoic intermediates and felsitic igneous rocks in Harlik Mountain and Eastern Bogda Mountain are the main provenance of No. 4 coal. The syngenetic siderite, Sr/Ba, Th/U, total sulfur content, and maceral indices indicate that No. 4 coal was formed in a salt-lake environment, and the climate changed from dry and hot to warm and humid.