In order to provide an effective theoretical basis for the location of microseismic source, active seismic exploration technology, and internal medium structure inversion of coal mine in different areas, we analyze the propagation law of microseismic wave in different medium accurately and intuitively. In this paper, we first studied the finite difference method suitable for the analysis of wave field characteristics of coal and rock medium in a coal mine. Then, we established the typical models of coal-rock combination multi-layer medium, fault-bearing coal-rock medium, coal-rock dual-phase medium of water-bearing and gas-bearing and stochastic medium model, and random medium model. Finally, we obtained the wave field snapshot and single shot recording of different medium model. The research shows that the high-order finite difference method can accurately obtain P and S waves field characteristics under different media conditions. The wave field characteristics of different medium models are different. In the coal-rock combination multi-layer model, the transmitted wave, transmitted converted wave, reflected wave, and reflected converted wave are generated on the different medium interfaces. In the fault model, not only the transmitted wave, transmitted converted wave, reflected wave, and reflected converted wave but also the refracted and diffracted waves are produced at fault area. In the coal-rock dual-phase medium of water-bearing and gas-bearing model, three types of waves are excited by the source, which are fast longitudinal (P) waves, transverse (S) waves, and slow longitudinal (P) waves. However, the propagation of slow longitudinal wave is different in these models. Under the stochastic media model, there are very complex scattering waves. The snapshots at different time further describe the wave field’s dynamic characteristics vividly, which establish the theoretical basis of the analysis of microseismic waves. Based on the analysis of the wave field characteristics of coal and rock in the mine, it can provide theoretical support and basis for the active seismic exploration and internal medium structure inversion of coal mine in different areas. What’s more, a more practical wave velocity model can be established to provide an effective theoretical basis for the location of microseismic source. When there is a disaster in the coal mine, we can determine the exact location of the source as soon as possible and take corresponding measures.