Concrete-encased coal pillars that serve as an effective support structure in coal mines have attracted increasing attention. This paper aims to explore the coupling bearing behaviors and the properties of interface force transfer between the interior coal and the encasing concrete. Laboratory uniaxial compression experiments were conducted on encased coal samples. Additionally, an interface force formula was derived based on deformation coordination and equilibrium conditions, and a mathematical formula was developed to estimate the load-bearing capacities of both the interior coal and the encased concrete. The research indicates that the stress–strain curve of the concrete-encased coal samples exhibits a distinct “double-peaked” phenomenon, and the load is transferred from the interior coal to the external concrete during the failure process. In the early stages of failure, the interface force enhances the strength of the coal pillar, while the lateral strain of the interior coal column exacerbates the damage to the encasing concrete. Moreover, the force at the concrete-coal interface is proportional to the axial loads and the mechanical properties of both materials. The strength of the coal pillar is significantly enhanced by lateral confinement. This study provides an experimental basis and theoretical analysis support for reducing the disaster of coal pillar instability.