The hydrothermal conversion of biomass is an important method for furfural (FF) production. The development of methods for converting five-carbon sugars to FF can improve the utilization rate of biomass polysaccharides, which has important research value. FF is a valuable furan organic compound in the decomposition of xylose and can be produced in large quantities under hydrothermal conditions. In this study, density functional theory (DFT) method was used to study the mechanism of xylose forming FF and the effect of methanol-water mixed solution on FF formation. In this paper, through quantitative calculations, the best way to convert xylose to FF is explored, in order to understand the basic conversion way of biomass hydrothermal conversion to high-value molecular FF. It shows that water molecules participate in the catalytic reaction, and the Gibbs free energy is significantly reduced. This is consistent with the experimental results. In the gas phase, the catalytic reaction shows excellent effects. The Gibbs free energy in the solution is significantly lower than the Gibbs free energy in the gas phase. Combining experimental results and theoretical calculations, it is confirmed that the yield of FF produced by hydrothermal liquefaction of xylose is significantly higher than that of gas-phase pyrolysis. It was also confirmed that methanol played a role in protecting active functional groups, while water played a role as a catalyst. At the same time, methanol and water have a synergistic effect on the solvent.