In order to investigate the difference of pore structure characteristics between mudstone and coal under different particle size conditions, samples acquired from Henan province were smashed and screened into three different particle sizes (20–40, 80–100, and >200 mesh) to conduct the experiments, using the high-pressure mercury intrusion porosimetry (MIP) and low-temperature N2 adsorption (LT-N2A) techniques. The results demonstrated that the proportion of open pores or semi-enclosed pores increased, and the pores became preferable contacted each other for both mudstone and coal during the crushing process. These variations of pore structure characteristics in the coal were beneficial to methane storage and migration. The total specific surface areas and pore volumes all showed a tendency of increasing continually for both mudstone and coal, as the particle sizes decreased from the LT-N2A test. The mudstone and coal were non-rigid aggregates with micropores, plate-shaped pores, and slit-shaped pores developed inside. The effect of the crushing process on the pore shape for the mudstone and coal was inappreciable. Moreover, the influence of the particle sizes on the mesopore was the most significant, followed by the macropore; and on the micropore, the influence was negligible for both mudstone and coal. The crushing process only had a significant impact on the pore structure of mudstone with a particle size of less than 100 mesh, while it could still alter the pore structure of coal with a particle size of larger than 100 mesh. It is believed that this work has a significant meaning to explore the diffusion and migration rules of coal-bed methane in coal.