This study focused on the effect of steam on the transformation of sulfur during pyrolysis of demineralized coal in a horizontal tube furnace within the range of temperatures from 300 to 800 °C. The main sulfur-containing products in the resulting pyrolysis gases including H2S, SO2, and COS were quantitatively measured using ion chromatography combined with Fourier-transform infrared spectroscopy gas analyzer. The transformation of pyrite in char was assessed based on X-ray diffraction, while the organic sulfur was determined using both an infrared sulfur analyzer and X-ray photoelectron spectroscopy. The experimental results indicated that sulfur in the demineralized coal was primarily converted to H2S during pyrolysis under both argon and steam/argon atmospheres. During steam/argon pyrolysis, the steam promoted the formation of H2S while inhibiting the formation of SO2, thus increasing and decreasing the yields of these two compounds, respectively. In the argon atmosphere, the pyrite decomposed completely into pyrrhotite at 500 °C and was then converted to troilite at 600 °C. In the steam/argon atmosphere, different iron-containing compounds (Fe1−xS, Fe3O4, and FeO) were formed during the demineralized coal pyrolysis. The promotion of the pyrite transformation by steam was especially pronounced at temperatures above 500 °C. The organic sulfur removal was found to increase likely because the addition of steam above 500 °C promoted the decomposition of thiophenic sulfur.