The aim of this article is to discuss the distribution law of the gasification agent concentration in a deep-going way during underground coal gasification and the new method of solving the problem for the convection diffusion of the gas. In this paper, the basic features of convection diffusion for the gas produced in underground coal gasification are studied. On the basis of the model experiment, through the analysis of the distribution and patterns of variation for the fluid concentration field in the process of the combustion and gasification of the coal seams within the gasifier, the 3-D non-linear unstable mathematical models on the convection diffusion for oxygen are established. In order to curb such pseudo-physical effects as numerical oscillation and surfeit which frequently occurred in the solution of the complex mathematical models, the novel finite unit algorithm-the upstream weighted multi-cell balance method is advanced in this article, and its main derivation process is introduced.