A thermal analysis experiment was conducted in O2/N2/CO2 and O2/N2 atmospheres (O2 concentrations were 21, 14, 8, and CO2 concentrations were 0, 39, 46, 52) to investigate the thermal behavior of coal oxidation and combustion. Results demonstrated that an elevated CO2 concentration or decreased O2 concentration had a delaying effect on the thermogravimetric analysis and differential scanning calorimetry (DSC) curves; moreover, the characteristic temperatures were substantially augmented. When the O2 concentration was 21 vol%, the total heat released by coals A (highly volatile bituminous coal) and B (anthracite coal) decreased by 5.8% and 4.1%, respectively, after CO2 addition. The comprehensive combustion performance index was also lowered. The DSC curve can be divided into two exothermic peaks, and the ratio of the peak 1 to peak 2 areas decreased with the addition of CO2, which indicated that CO2 inhibited the oxidation of the active functional groups of coal structures. Apparent activation energy in O2/CO2/N2 was less than that in O2/N2.