The influence of water immersion on the spontaneous combustion characteristics of anthracite with high concentrations of sulfur-bearing minerals was studied using simultaneous thermogravimetry–mass spectrometry (TG-MS), Fourier transform infrared (FTIR) spectroscopy and X-ray diffraction. In addition, variations in the structural parameters, mass, heat release and gas evolution processes before and after water immersion were investigated. The results showed that the coal sample contained a large amount of pyrite (FeS2). After 45 days of immersion, the pyrite content in the coal decreased, and the infrared absorption peak of Si (Al)–O at 1116 cm−1 disappeared. The TG curves did not show a mass increase. Moreover, the initial reaction temperature of immersed coal was 39 °C lower than that of raw coal, and the heat release increased by 127.3 J g−1. The gas products in the samples varied mainly in quantity but not in species. MS and FTIR analyses revealed that SO2 was the main gas produced, and the maximum SO2 gas evolution temperatures of both coal samples were similar to the peak temperatures in the differential thermogravimetry and differential scanning calorimetry (DSC) curves. Furthermore, the infrared 3D spectrogram revealed that gas generated by immersed coal was detected at a lower temperature, the peak temperature occurred earlier, and the evolved intensity was stronger.