There are various mercury species in nature. Understanding mercury association with coal components could play a critical role in controlling mercury emission from coal utilization. In this study, an Alberta sub-bituminous coal was fractionated into various size and density fractions. The mercury and sulfur contents in each fraction were determined. To identify mercury association with coal components, the fractionated coal samples before and after low-temperature ashing were characterized by an X-ray diffractometer. Our study showed a clear correlation between the mercury and ash contents of coal. Such a relation was not observed between the mercury and sulfur contents. The potential to remove mercury prior to coal utilization by ash rejection using an air dense medium fluidized bed separator was demonstrated. At a combustible recovery of 81%, an ash rejection of 55% was achieved, leading to a mercury rejection of 56%.