The rotary kiln is a piece of equipment that consumes an extensive amount of energy. The thermal dynamic characteristics of the rotary kiln include conduction, convection, radiation, and combustion characteristics, which are closely bound up with the energy consumption of the kiln. In this paper, both experimental and numerical studies are performed to understand the relationship between the thermal dynamic characteristics of the rotary kiln and the factors that affect them. In the experimental section, the shell temperature and coating thickness of the kiln cylinder were measured, which shows the thermal dynamic characteristics of the rotary kiln. In the numerical section, a three-dimensional numerical model with ANSYS software is set up to research the fluid flow, combustion, and heat transfer characteristics of the rotary kiln under different working conditions. The numerical simulation results presented reasonable agreement with the experimental data. The results indicate that coating thickness affects the heat transfer conduction of the kiln and the burner structure affects the combustion and convection heat transfer in a kiln. Fugitive constituents of coal, pulverized coal concentration, excess air ratio, and oxygen content can influence the characteristics of the combustion and heat transfer processes.