In recent years, coal-type critical metal deposits have become a research hotspot in coal geology. As a major coal-accumulating basin in the Xinjiang area, the Turpan-Hami Basin contains abundant coal resources and has the potential to become a large coal-type critical metal deposit. However, previous studies on the enrichment characteristics of critical metal elements in coal are few and need further research. Based on SEM-EDS, XRF, and ICP-MS experiments, this study investigates the coal petrology, mineralogy, and geochemistry of the No. 22 coal of the Xishanyao Formation from the Dananhu Coal Mine, Xinjiang, to identify the sediment source, depositional environment, and controlling factors of the critical metal elements of the No. 22 coal. The results showed that the Dananhu coals are characterized by a low ash yield, low total sulfur content, high volatile yield, and high inertinite proportions. Quartz, kaolinite, and illite are the main minerals in the coal. Compared with the world’s low-rank coals, Ni, Co, Mo, and Ta are slightly enriched, Li, Rb, Cs, Ba, Tl, Bi, and Ge are depleted, and the concentrations of other trace elements are comparable to the average values of the world’s low-rank coals. The REY of the Dannanhu coals exhibited high fractionation, with its enrichment patterns characterized by the H-type and M-H-type. Although most of the critical metals are not enriched in the Dannanhu coals, the Ga, Zr (Hf), and Nb (Ta) concentrations in the coal ash of the Dannanhu coals have reached the economic cut-off grade and have the potential to be a substitute for rare metal resources. The terrigenous detrital sources of the Dannanhu coals mainly come from the Paleozoic dacite, andesite, and a small amount of granite from the Harik Mountain and Eastern Bogda Mountain in the Turpan-Hami Basin. The Dannanhu coals are generally in a dry and hot depositional environment, with high salinity and weak reduction-oxidation. The low source input and weak reduction-oxidation environment have resulted in low concentrations of critical metal of the No. 22 coal from the Dananhu Coal Mine.