The effect of small molecular compounds in coal on quick direct coal liquefaction at high temperature was studied. The results showed that extraction with tetrahydrofuran just removed a portion of organic compounds, which were free or embedded in the macromolecular network structure in coal, without changing the macromolecular network of coal. However, removal of small molecular compounds in coal influenced the pyrolysis behavior and liquefaction performance of coal. The extracted coal exhibited better liquefaction activity in good donor solvent. The liquefaction conversion and yield of oils were higher than that of raw coal. The reason was that extraction with tetrahydrofuran made the relaxation of coal macromolecular network, and increased average pore size of extracted coal, which favored the diffusion of hydrogen-donating solvent into coal macromolecular network, thus increased the probability of collision of radicals and active hydrogen. The quick liquefaction experiment of extracted coal in poor hydrogen-donating solvents showed that the small molecular compounds played an important role as hydrogen donor during the quick liquefaction at high temperature without external active hydrogen resource.