A new type of thermogravimetric analyser (t.g.a.) which can measure the sample and ambient temperatures at the same time was used to study coal pyrolysis under pressure. Two Chinese coals, Hanqiao bituminous and Yuanquan anthracite, were used in four size fractions. The experimental results show that coal pyrolysis at elevated pressure occurs in two stages. In the first stage pressure has almost no effect on product yields; in the second stage it has an obvious effect whereas the temperature effect can be negligible. The influence of particle size and heating rate under pressure was also studied. A mathematical model for large coal particles, which considers the temperature gradients within the particles and pressure effects, is proposed. The model predicts the experimental results fairly accurately.