Coal–water slurry or coal–water mixture (CWS or CWM) is a complex solid–liquid dispersion. Several research works have been done concerning the production and use of CWSs being developed worldwide in several different governmental, industrial and academic facilities. In the present paper, studies on the developments achieved in the past three decades with regard to the field mentioned above are systematically reviewed, with particular regard to several different aspects during the combustion process. The structure and properties of the coal are highlighted, as are the different additives used and their adaptability with different types of coal, where the particle size distributions are of great importance in determining both the slurryability of coal and the rheological behavior of a produced CWS for its intended characteristics. At a time when there is much debate about the end of the age of coal as a primary source of thermal and electrical energy, alternative forms of use that can contribute to the reduction of pollutant emissions, as well as particles, in the atmosphere offer alternatives that may allow us to continue using coal, at least during this transition period until a viable alternative is found. In-depth knowledge of these coal slurries may allow, in the future, the development of similar products produced from fuels derived from biomass, such as charcoal or torrefied biomass.