Our previous works showed that the tar yield of coal pyrolysis can obviously be improved by integrated CO2 reforming of methane to coal pyrolysis in a fixed-bed reactor consisting of an upper catalyst layer and a lower coal layer. In this work, the effects of catalyst supports (MgO, Al2O3, SiO2, and NaY) and reaction conditions oil tar and water yields, CH4 conversion in pyrolysis of Chinese Pingshuo coal, and the carbon deposition on different catalysts were investigated. The results indicated that the catalyst support has an important effect on the integrated process and MgO is the best among the studied supports. A higher tar yield, lower water yield, and lower carbon deposition can be obtained with Ni/MgO as the catalyst. The tar yield increases with the increase of the pyrolysis temperature, holding time, CO2/CH4 ratio, and CH4 now rate, respectively, while the char yield decreases with an, increasing pyrolysis temperature.