To improve the yield and quality of coal pyrolysis tar while using pyrolysis gas (PG), a Ni/MgO catalyst was introduced to catalyze the pyrolysis of bituminous coal under a PG atmosphere. The effects of pyrolysis temperature, gas flow rate, catalyst packing methods, and atmosphere composition on coal pyrolysis were investigated. The yield and quality of tar obtained from Shihezi (SHZ) bituminous coal pyrolysis under N-2, PG, and PG over a Ni/MgO catalyst were found to vary with the increase of pyrolysis temperature. The catalyst packed in the upper layer results in higher tar yields, but mixing the catalyst and coal leads to an increase in the maltene yield. The components in PG improved the tar yield and tar quality. Finally, a higher tar yield can be obtained from SHZ coal pyrolysis under CO/H-2, CO2/H-2, and CO2/CH4 atmospheres using a Ni/MgO catalyst.