Small angle neutron scattering (SANS) has been applied to examine the effect of high-pressure CO2 on the structure of Wyodak coal. Significant decrease in the scattering intensities on the exposure of the coal to high-pressure CO2 showed that high-pressure CO2 rapidly gets adsorbed on the coal and reaches to all the pores in the structure. This is confirmed by strong and steep exothermic peaks observed on DSC scans during coal/CO2 interactions. In situ small angle neutron scattering on coal at high-pressure CO2 atmosphere showed an increase in scattering intensities with time suggesting that after adsorption, high-pressure CO2 immediately begins to diffuse into the coal matrix, changes the macromolecular structure of the coal, swells the matrix, and probably creates microporosity in coal structure by extraction of volatile components from coal. Significant decrease in the glass transition temperature of coal caused by high-pressure CO2 also confirms that CO2 at elevated pressures dissolve in the coal matrix, results in significant plasticization and physical rearrangement of the coal's macromolecular structure.