A Chinese sub-bituminous coal, i.e., Shengfu (SF) coal, was hydrothermally treated with and without CaO addition at different temperatures, and the extraction yields and caking indexes (G(RI)) of the treated coals were measured. The action of CaO during hydrothermal treatment was probed in this study. The results show that hydrothermal treatment can obviously increase the extraction yield and G(RI) of SF coal, and CaO can further promote this effect of hydrothermal treatment. The removal of oxygen functional groups, especially the hydroxyl group, dissociating the aggregated structure of coal, is responsible for the modifying results. CaO can supply a basic environment for the hydrothermal treatment, which is beneficial for the removal of acidic oxygen functional groups by acid-base interactions and promotes the effect of hydrothermal treatment for SF coal, resulting in additional increases in the extraction yield and G(RI).