Sewage sludge is not only a kind of hazardous waste, but also biomass resources that rich in organic matter. Hydrothermal liquefaction (HTL) is an effective way of converting sewage sludge (SS) into fuels and chemicals. In this study, the HTL of SS was performed with the aid of transition metal supported HZSM-5 catalyst at 340 °C, conducted with methanol-water as the solvent. The existing forms of nitrogen in the full-component products were tested and analyzed, and the possible migration and transformation paths of nitrogen in the catalytic liquefaction process were proposed. The addition of catalyst has an effect on the physicochemical properties and yield of the liquefaction products. The highest bio-oil yield (28.55%, 26.16%) was achieved at 340 °C with the inclusion of 0.5%Co/HZSM-5 and 1%Ni/HZSM-5, which improved the bio-oil yield by 30% compared with the non-catalyzed group. Ni and Co modified HZSM-5 showed a similar trend of nitrogen transfer, the bio-oil obtained by using metal-loaded HZSM-5 catalysts has higher hydrogen content and lower nitrogen and oxygen content. Catalytic-liquefaction promoted the distribution of nitrogen to solid residues and aqueous. Furthermore, the addition of catalyst promoted the ring opening reaction of the polycyclic compounds and the conversion of the polycyclic nitrogen compounds to amines and amides. The content of monocyclic nitrogen compounds in bio-oil increased while polycyclic nitrogen compounds decreased.