To explore the occurrence and distribution characteristics of fine-grained pyrites in coal and the effect of pyrite particle size on flotation efficiency, coal samples from Guizhou province and Shanxi province, China, were selected for pyrite morphology observation and sulfur content test before and after flotation desulfurization experiments with different coal particle sizes. Experimental results showed that the fine-grained fine pyrites in coal have various occurrence forms and complex connections with the coal matrix. The fragmentation process can change the distribution of pyrite content in coal. Flotation desulfurization experiments showed that the sum of pyrite content in the cleaned coal and middlings gradually became significantly higher in coal particles with size 15-37 μm compared with particle sizes 37-44 and 44-75 μm. The complex occurrence morphology and crystal structure of fine-grained pyrite make it difficult to be removed from the coal matrix by ore grinding during flotation. Fine-grained pyrite mainly occurs in the form of framboïdal pyrite, disseminated pyrite, and monomer pyrite with a size of 0.69-33.94 μm in the middlings and cleaned coal. Therefore, 37 μm is considered as the critical dimension for ore grinding to improve the effective flotation desulphurization efficiency in this study, and some more effective methods should be used to increase the desulfurization efficiency of fine-grained pyrite.