Coal and rock dynamic disasters have been the main concern in underground engineering because these seriously threaten the safety of miners and industrial production. Aiming to improve the EMR and AE monitoring technology, the refined nonlinear characteristics of EMR and AE during coal splitting failure are studied using Hilbert-H and multifractal theory, and valuable information pertaining to coal fracture law contained in EMR and AE waveform was revealed. The results show that the EMR and AE of coal splitting failure are related to the process of coal crack propagation. They possess the same initiation time and frequency band, however, the signal duration of EMR is comparatively longer than AE, and the main frequency of AE is higher than EMR. The EMR of coal splitting failure has the same excitation source as AE; nonetheless, the excited forms display different behavior. In terms of signal duration, the distribution of EMR signal is relatively uniform, the proportion of large-signal is less, the amount of information is more than that of AE, and the multifractal characteristics are more complicated. During the coal splitting failure, AE is mainly generated in the process of wall vibration caused by crack propagation, while the generation of EMR includes piezoelectric effect, charge separation, free charge vibration, charge neutralization and other processes, making EMR more complicated than AE and has a relatively low frequency. The research provides an effective method for studying nonlinear refinement characteristics of coal EMR and AE, and can provide an important basis for the study of the mechanism of EMR generation.