Coal-to-liquid technology is a key technology to ensuring national energy security, with the Fischer–Tropsch synthesis process at its core. However, in actual production, Fischer–Tropsch wax residue exhibits the characteristics of spontaneous combustion due to heat accumulation, posing a fire hazard when exposed to air for extended periods. This significantly threatens the safe production operations of coal-to-liquid chemical enterprises. This study primarily focuses on the experimental investigation of the oxidative spontaneous combustion process of three typical types of wax residues produced during Fischer–Tropsch synthesis. Differential Scanning Calorimetry (DSC) was used to test the thermal flow curves of the three wax residue samples. Kinetic analysis was performed using the Kissinger–Akahira–Sunose (KAS) and Flynn–Wall–Ozawa (FWO) methods to calculate their apparent activation energy. This study analyzed the thermal behavior characteristics, exothermic properties, and kinetic parameters of three typical wax residue samples, exploring the ease of reaction between wax residues and oxygen and their tendency for spontaneous combustion. The results indicate that Wax Residue 1 is rich in low-carbon chain alkanes and olefins, Wax Residue 2 contains relatively fewer low-carbon chain alkanes and olefins, while Wax Residue 3 primarily consists of high-carbon chain alkanes and olefins. This leads to different thermal behavior characteristics among the three typical wax residue samples, with Wax Residue 1 having the lowest heat release and average apparent activation energy and Wax Residue 3 having the highest heat release and average apparent activation energy. These findings suggest that Wax Residue 1 has a higher tendency for spontaneous combustion. This research provides a scientific basis for the safety management of the coal chemical industry, and further exploration into the storage and handling methods of wax residues could reduce fire risks in the future.