With the increase of sewage sludge production in China, there is an urgent need for a clean and efficient sludge treatment, and the coupling utilization of sludge and coal to produce briquette is a potential sludge treatment method. In this work, sludge (with blending ratio higher than 40 wt%, dry basis) and one Chinese low-rank pulverized coal were used as raw materials to prepare sludge briquette by cold pressing method without binder. The effect of sludge moisture content (SMC), briquetting load (BL), blending ratio (BR), and particle size distribution of coal (PSD) on the compressive strength of the briquette were explored. Through FTIR, contact angle, Zeta potential, and SEM analysis, the briquetting mechanism of sludge briquette was clarified. The response surface method (RSM) was used to optimize the briquetting process conditions. The results showed that the order of influence of various factors on the compressive strength of the briquette is as follows: BL > PSD > SMC > BR. The results also showed that the interaction among SMC, BL, and PSD is the main factor affecting the compressive strength of sludge briquette. According to regression analysis, the optimum briquetting conditions are SMC of 14.11%, BL of 46.54 MPa, the weight proportion of sludge of 60%, and the weight proportion of R1 in coal of 52.68%. The quadratic regression model was established by RSM, and the predicted value is close to the experimental value.