The pyrolysis characteristics of Shenmu coal under an atmosphere containing H₂ (40%) and another containing CH₄ (40%) were studied via a thermogravimetric analysis, and the kinetic parameters of pyrolysis were calculated by using a distributed activation energy model (DAEM). The results showed that H₂ promoted the cleavage of CH-like functional groups by providing reactive hydrogen groups to combine with CH groups and –OH groups in the coal. However, the H₂ and CH₄ atmosphere inhibits the cleavage of oxygen-containing functional groups such as carbonyl groups and C–O groups, and this is unfavorable to the production of CO₂ and CO. The pyrolysis weight-loss rate of raw coal decreases with the increase of the heating rate, and the weight-loss curve shifts to the high-temperature region. At the same conversion rate and pyrolysis temperature, the activation energy of pyrolysis under the H₂ and CH₄ atmospheres is lower than that under the N₂ atmosphere, and the activation energy does not conform to the Gaussian distribution. The activation energy of pyrolysis was distributed in a narrow range, in which the activation energy of the H₂ and CH₄ atmospheres was concentrated in the range of 175–215 kJ/mol and 225–230 kJ/mol, respectively, and the activation energy of the H₂ atmosphere was lower than that of the CH₄ atmosphere under the same conversion rate.