Rare earth elements and yttrium (REY) in coal, fly ash as well as coal preparation products have attracted much attention due to the increasing demand worldwide. In this paper, the distribution of REY in different size and density fractions, their mode of occurrence, and the insight they provide on the sediment source region of the Reshuihe coal in southern China are studied. The results show that the physical separation method caused light-REY (LREY) to be enriched in the low-density and large-sized coal particles, whereas medium-REY (MREY) and heavy-REY (HREY) are enriched in small-sized and high-density fractions. In addition, LREY are more closely associated with organic matter, while MREY and HREY occur more often in aluminosilicate minerals. Moreover, the sediment source of the Reshuihe coal was mainly derived from the felsic-intermediate rocks at the top of the Emeishan basalt sequence. Further, REY in the feed coal are generally not enriched, though REY are enriched in density fractions of 1.4 kg/L. The combustion products of coal with a density of 1.4 kg/L obtained by gravity separation have a potential economic value as promising raw materials for REY.