The interaction of methylene blue (MB) dye with natural coal (collected from coal landfills of the Kosovo Energy Corporation) in aqueous solutions was studied using adsorption, kinetics, and thermodynamic data, and Monte Carlo (MC) calculations. In a batch procedure, the effects of contact duration, initial MB concentration, pH, and solution temperature on the adsorption process were examined. The Langmuir, Freundlich, Temkin, and Dubinin–Radushkevich (D–R) isotherms were used to examine the equilibrium adsorption data. The equilibrium data fit well to the Freundlich and Langmuir adsorption isotherm models; however, the Freundlich model suited the adsorption data to a slightly better extent than the Langmuir model. The kinetics experimental data was fitted using pseudo-first-order, first-order, pseudo-second-order, second-order, Elvoich equation, and diffusion models. The pseudo-second-order rate model manifested a superlative fit to the experimental data, while the adsorption of MB onto coal is regulated by both liquid film and intraparticle diffusions at the same time. Thermodynamic parameters, such as Gibbs free energy (ΔG⁰), enthalpy (ΔH⁰), and entropy (ΔS⁰) were calculated. The adsorption of MB was confirmed to be spontaneous and endothermic. The theoretical results were in agreement with the experimental ones.