In situ combustion is an enhanced method to recover heavy oil. The formation and oxidation of coke are crucial to promote the combustion front. Heavy oil from China and montmorillonite, a major type of clay, were used as samples in this study. The thermogravimetric analyzer (TGA) was applied to temperature-programmed oxidation/pyrolysis experiments to study the effect of montmorillonite on the thermal conversion characteristics of heavy oil. A fixed-bed reactor was then used to obtain coke and study the effect of montmorillonite on coke properties. The characteristic temperatures of thermal conversion decreased with montmorillonite in the oxidizing atmosphere but remained unaffected in the pyrolysis atmosphere. The fuel deposition increased in both atmospheres because of montmorillonite's strong adsorption. In the oxidizing atmosphere, the presence of montmorillonite obviously promoted the progress of coke formation and increased coke yield. The content of O was increased, and the contents of C and H were decreased in coke. The oxidation activity of coke was improved, while trailing occurred due to the blocking in the pore structures of the montmorillonite skeleton. In the pyrolysis atmosphere, the presence of montmorillonite did not influence the coke formation temperature but increased the coke yield. The content of C was increased and the contents of H and O were decreased in coke. Coke oxidation activity was reduced with the more serious trailing phenomenon. Montmorillonite significantly affected coke formation through its strong adsorption to polar components in heavy oil in both atmospheres and obvious catalysis on dehydrogenation as an acid catalyst in the pyrolysis atmosphere, while it enhanced the oxygenation due to its large surface area and catalyzed polycondensation in the oxidizing atmosphere.