A new type of fine coal dry separation technology was investigated. Microwave energy was used to improve the magnetic properties of fine coal with a high sulfur content collected from different regions, and a magnetic medium was added to enhance the microwave energy absorption. The enhancement of magnetic desulfurization of −0.5 mm coal using microwave energy was studied, and the gradient effect of secondary magnetic separation of magnetic particle chain on the enhancement mechanism of desulfurization efficiency was evaluated. Microwave energy was used to strengthen the magnetic properties of coal pyrite, leading to high-gradient magnetic separation. In the X axis, demagnetizing field and background magnetic field of particles with different sizes interact near magnetic particles, producing a low magnetic field in the internal region of particles. Further, the change in the internal magnetic field of the entire particle is consistent with the background magnetic field in the positive direction along the X axis. The optimum sulfur content of clean coal in the two types of high-sulfur coal was obtained when 5% magnetic medium was added under a pretreatment time of 180 s, and the sulfur contents of clean coal were 3.12% and 2.08%, respectively. The clean coal yield of the two types of high-sulfur coal decreased by increasing the desulfurization rate, and the optimum media content used for the desulfurization of the two types of high-sulfur coal by rare-earth magnetic separator was 5%. A high-intensity magnetic separator was used for the separation of fine coal, and an effective way to achieve the clean utilization of pulverized coal before its combustion was investigated.