After exposing dry high-volatile bituminous coal, low-volatile bituminous coal, and anthracite to CO2, we measured the swelling properties of the coal in two pressurization cycles with a maximum pressure of 12 MPa. The viewpoint of physicochemical interactions between the coal and CO2 was used to explain these observations for the first time. Due to the irreversibility of the chemical interactions, the swelling process is also irreversible. At medium to high pressures, the compressional environment is stronger than the magnitude of the swelling; as such, the maximum swelling occurs at 10 MPa. The magnitude of the swelling increases with the coal rank, indicating more drastic breakage of the associative bonds in the coal macromolecule. We attribute anisotropic swelling to the anisotropic bond density in the directions perpendicular and parallel to the bedding plane. In the second pressurization cycle, more gases enter the coal macromolecule at the same pressure, which cause higher strains than those of the first run. The swelling anisotropy slightly weakens in the second pressurization run because the expansion perpendicular to the bedding plane is mitigated. Since the coal rearranges to a more homogeneous structure, the anisotropic swelling is obvious at all pressures.