Basic knowledge of the adsorption thermodynamic process of coalbed methane is conducive to a deep understanding of its adsorption mechanism. In this study, we directly measure the adsorption heats of methane on coals using the microcalorimetry with volumetric method. The adsorption content and adsorption heat of four types of coals and their oxidized and extracted coals were measured at 308.15 K in the 0-3.5 MPa pressure range. The results show that extracted coal has lower adsorption content and adsorption heat than raw coal because of the decrease in micropore volumes, which indicates that the micropores of coal significantly affect the adsorption properties of coal. The release heat from the adsorption process increases the coal temperature, and the change in temperature can be more than 20 K. In the experimental pressure range, the isosteric heat decreases with the increase in adsorption content, and because of the enhanced adsorption potential of micropores, methane is preferentially adsorbed in smaller micropores. In addition, a new method to estimate the pseudo-saturation vapor pressure of supercritical adsorption has been introduced according to the experimental results of isosteric heats of adsorption.