Coal polygeneration systems are recognized as promising technologies for efficient and clean coal utilization. In previous coal polygeneration systems, coal was only used as a feedstock for gasification. The value difference between diverse constituents of coal is neglected. Based on an idea to utilize the different constituents of coal separately, a coal staged conversion utilization polygeneration system is proposed. In this system, pyrolysis gas and tar are first extracted through coal pyrolysis followed by char extraction. The tar is used for fuel‐oil production through tar hydrogenation. The char is gasified to produce syngas. Pyrolysis gas and syngas are mixed together to produce methanol and electricity. Process simulation of this system was established by using Aspen Plus. For comparison, a conventional coal polygeneration system based on entrained flow gasification technology and Fischer–Tropsch synthesis technology has also been established by using Aspen Plus. Simulation results indicate that the thermal efficiency and internal rate of return of the coal staged conversion utilization polygeneration system are higher, whereas the total capital investment and discounted payback period are lower than those of the conventional coal polygeneration system. The thermal efficiency of coal staged conversion utilization polygeneration can reach 51.16 % (lower heating value).