(1) Background: As a world-recognized high-risk occupation, coal mine workers need various cognitive functions to process the surrounding information to cope with a large number of perceived hazards or risks. Therefore, it is necessary to explore the connection between coal mine workers’ neural activity and unsafe behavior from the perspective of cognitive neuroscience. This study explored the functional brain connectivity of coal mine workers who have engaged in unsafe behaviors (EUB) and those who have not (NUB). (2) Methods: Based on functional near-infrared spectroscopy (fNIRS), a total of 106 workers from the Hongliulin coal mine of Shaanxi North Mining Group, one of the largest modern coal mines in China, completed the test. Pearson’s Correlation Coefficient (COR) analysis, brain network analysis, and two-sample t-test were used to investigate the difference in brain functional connectivity between the two groups. (3) Results: The results showed that there were significant differences in functional brain connectivity between EUB and NUB among the frontopolar area (p = 0.002325), orbitofrontal area (p = 0.02102), and pars triangularis Broca’s area (p = 0.02888). Small-world properties existed in the brain networks of both groups, and the dorsolateral prefrontal cortex had significant differences in clustering coefficient (p = 0.0004), nodal efficiency (p = 0.0384), and nodal local efficiency (p = 0.0004). (4) Conclusions: This study is the first application of fNIRS to the field of coal mine safety. The fNIRS brain functional connectivity analysis is a feasible method to investigate the neuropsychological mechanism of unsafe behavior in coal mine workers in the view of brain science.