This paper presents the heat treatment study on different lithotypes of coal using a custom designed high-temperature thermal nitrogen immersion experimental setup. The results revealed that the heat treatment significantly increased the surface roughness of coal particles and the structural complexity. The pores with diameters >200 nm of coal increased after heat treatment. Some of the new fissures still retain the pore morphology, exhibiting the pore connections. With increasing heat treatment temperature, the total pore volume (TPV) and specific surface area (SSA) of all four selected coal types tended to decrease. Thermal action also significantly increased the average and maximum pore diameters, and the most obvious effect was observed after heat treatment at 120 °C and 210 °C. After heat shock at 210 °C, the average diameters of bright and semibright coal samples were enlarged by 3.5 and 2.7 times, respectively. The semidull coal enlarged 1.6 times, and the dull coal enlarged 1.2 times. In addition, the fractal dimension, which represents the surface roughness of pores, continued decreasing as the heat treatment temperature increases. The pore structure fractal dimension first tends to increase, then decrease, and finally increase again. Therefore, the heat treatment enhanced connectivity and increased fracture, facilitating the transport of methane.