The migration of mercury pollutants is an inevitable problem in the coal pyrolysis/circulating fluidized bed (CFB) combustion-staged conversion process. To explore the influence of circulating ash on the occurrence and migration of mercury in a staged process, two-stage mercury removal experiments were conducted in a fixed-bed reactor with high-mercury coal. The effects of ash-to-coal ratio, ash particle size, metal oxides in ash, and ash-coal placement types on mercury in coal pyrolysis gas, liquid, and solid products were investigated. The results showed that mercury in coal pyrolysis volatiles mainly escapes in the form of Hg-0 and Hg2+, and Hg-0 is the main form of mercury in the volatiles. Fe2O3, CaO, and MgO in circulating ash reacted with Hg-0 in coal pyrolysis volatiles at a high temperature to oxidize Hg-0 to Hg2+. Larger ash-to-coal ratio and smaller ash particle size could significantly increase the conversion efficiency of Hg-0 to Hg2+. When ash and coal were mixed, the oxidation rate of Hg-0 during coal pyrolysis was significantly better than that in the layered pyrolysis of ash and coal. Temperature was the most important factor affecting Hg-0 escape during coal pyrolysis. The combustion experiments of pyrolysis semicoke showed that the mercury in semicoke and tar completely escaped in the form of Hg-0. This study provides a reference for the purification of mercury-containing pollutants in the pyrolysis and combustion-staged conversion process.