The reaction mechanisms of sulfur-containing compounds in heavy oil in supercritical methanol were clarified. Four sulfur model compounds, namely n-hexyl sulfide, 3-methylthiophene, diphenyl sulfide, and dibenzyl sulfide, were selected to simulate the conversion mechanism of the sulfur components in supercritical methanol. The conversion rate of dibenzyl sulfide was 100% after 1 h of reaction in supercritical methanol. The desulfurization rate was up to 97%. The sulfur compounds in the products were mainly tetraphenylthiophenol, which provided a theoretical analysis for the increase in the sulfur content in asphaltenes. In this work, by studying the reaction path of sulfur-containing compounds in supercritical methanol, we found that supercritical methanol could not only accelerate the reaction process as a reaction solvent but also play a role in promoting the desulfurization reaction.