To improve the coal water slurry (CWS) property made from Chinese Shenhua coal with high inherent moisture and oxygen contents, microwave irradiation and thermal heat were employed to modify the coal physicochemical property. Microwave irradiation reduces the inherent moisture and reforms the oxygenic function groups, while it decreases the total specific surface area. Thermal heat markedly decreases the inherent moisture, volatile, and oxygen contents, while it dramatically increases the total specific surface area. Therefore, microwave irradiation gives a higher CWS concentration and a better theological behavior than thermal heat, while it remarkably reduces the operation time and energy consumption. The maximum CWS concentration given by microwave irradiation at 420 W for 60 s is 62.14%, which is not only higher than that of 60.41% given by thermal heat at 450 degrees C for 0.5 h but also higher than the initial 58.23%. Meanwhile, the minimum shear stress given by microwave irradiation is 36.4 Pa at the shear rate of 100 s(-1), which is not only lower than that of 42.4 Pa given by thermal heat but also lower than the initial 79.8 Pa. The minimum unit energy consumption of 0.115 kW-h/(kg of coal) and electricity cost of 4.6 U.S. $/(ton of coal) for CWS concentration promotion by 1% are obtained at 420 W for 20 s in the microwave oven. The unit energy consumptions for CWS concentration promotion and inherent moisture removal by thermal heat are, respectively, 214 and 22.5 times higher than those by microwave irradiation, while the energy use efficiencies are on the converse.