Fuel preparation is the control bottleneck in coal-fired power plants due to the unmeasurable nature or inaccurate measurement of key controlled variables. This paper proposes an inferential multi-model predictive control scheme based on moving horizon estimation for the fuel preparation system in coal-fired power plants, i.e., the pulverizing system, aimed at improving control precision of key operating variables that are unmeasurable or inaccurately measured, and improving system tracking performance across a wide operating range. We develop a first principle model of the pulverizing system considering the nonlinear dynamics of primary air, and then employ the genetic algorithm to identify the unknown model parameters. The outputs of the identified first principle model agree well with measured data from a real pulverizing system. Thereafter we derive a moving horizon estimation approach to estimate the desired, but unmeasurable or inaccurately measured, controlled variables. Estimation constraints are explicitly considered to reduce the influence of measurement uncertainty. Finally, nonlinearity of the pulverizing system is analyzed and a multi-model inferential predictive controller is developed using the extended input-output state space model to achieve offset-free performance. Simulation results show that the proposed soft sensor can provide improved estimates than conventional extended Kalman filter, and the proposed inferential control scheme can significantly improve performance of the pulverizing system.