A novel and highly active Y/ZSM-5 composite zeolite (YZCZ)-supported nickel bifunctional catalyst (Ni/YZCZ) was prepared using a modified deposition–precipitation method to uniformly disperse Ni nanoparticles (NNPs) onto YZCZ. Hecaogou subbituminous coal was exhaustively extracted with isometric carbon disulfide and acetone mixed solvent under ultrasonic irradiation to afford the extractable portion (EP) in the yield of 18.4%. EP was subjected to catalytic hydroconversion (CHC) in n-hexane over Ni/YZCZ under 5 MPa of initial hydrogen pressure at 160 °C for 24 h to afford catalytically hydroconverted EP (CHCEP). Both EP and CHCEP were analyzed with a gas chromatograph/mass spectrometer (GC/MS) and quadrupole exactive orbitrap mass spectrometer (QPEOTMS). As a result, cyclanes, alkenes, and hydroarenes were only detected in CHCEP and the relative content (RC) of alkanes in CHCEP is much higher than that in EP, while the RCs of both arenes, especially condensed arenes, and oxygen-containing organic compounds in EP are predominantly higher than those in CHCEP and nitrogen-containing organic compounds were only detected in EP. According to the CHC of coal-related model compound oxydibenzene (ODB), Ni/YZCZ can effectively activate H2 to biatomic active hydrogen (H⋯H), which is then split to an immobile H− attached on Ni/YZCZ and a relatively mobile H+. The H⋯H transfer leads to the hydrogenation of aromatic rings (ARs) in EP and ODB followed by heteroatom removal from the hydrogenated EP and ODB. In addition, due to the appropriate acidity, uniformly dispersed NNPs, and mesoporous structure of YZCZ, Ni/YZCZ proved to be still active for the CHC after 3 cycles and recoverable.