Zhundong coal (ZDc) with a very large reserve is faced with severe problems of slagging and fouling during combustion in boilers because of the high-Na content. Sludge, the by-product of urban sewage treatment, is also faced with the problem in utilization. In this study, the co-combustion of ZDc and sludge was investigated in a laboratory-scale experimental apparatus before further studies in larger-scale setups. The experimental results confirm an interaction between ZDc and sludge during co-combustion, which was mainly caused by the Na catalytic action and improved the combustion performance of the co-fuels. The catalytic effect was particularly significant at low sludge mixing ratios. The reactions between Na-based compounds in ZDc and Si/Al/P-rich minerals in sludge, forming high-melting-point phosphates and aluminosilicates, not only increased Na retention in residual ash reducing the risk of fouling on tail-heating surfaces in boilers, but also raised the ash fusibility of the co-fuels avoiding low-temperature sintering. Even so, to prevent slagging, the high combustion temperature above 900 °C should be avoided during co-combustion because of the high Na retention in residual ash. Moreover, the high heavy metal retention in residual ash decreased the pollution caused by heavy metal volatilization during sludge combustion.