Mode of occurrence of mercury in three coals was studied using sequential selective extraction, physical separation, and thermal treatment methods. Mercury speciation in the selected coals was determined using a five step sequential selective extraction method showing associations of mercury fractions with the organic and mineral structure in the analyzed coals. One of the coals was further subjected to thermal treatment with results revealing release of the organo-complexed mercury from coal at temperatures below 400 °C, while the mercury fraction associated with the coal mineral lattice was found to be the more stable form, released at temperatures of 600 °C. The mercury content was also determined for a selected range of coal density fractions showing strong correlation between mercury concentration in coal and the coal density fractions. The heaviest density fraction of the coal exhibited the largest ash as well as the highest pyritic sulfur content. Previous studies have established a strong relationship between mercury and the pyritic sulfur in coal, which was also confirmed in this work.