Co-pyrolysis of coal, biomass, and waste plastics was examined as a means to increase the total conversion and the liquid yield as compared with separate pyrolysis of each substance. First, co-pyrolysis of a coal or a cellulose simply mixed with waste plastics, a polyethylene-derived wax, Orinoco tar or a coal liquefaction residue was performed using a Curie-point pyrolyzer. Only the combination of the cellulose and the polyethylene-derived wax realized increases in total conversion and liquid yield. This clarified that intimate contact at molecular level and matching of the pyrolysis rates between both substances are essential for the co-pyrolysis to be effective. Based on the above results we presented a new co-pyrolysis method of coal and wax. The coal was oxidized by hydrogen peroxide at 298K to increase oxygen functional groups, namely non-covalent bonding sites, then it was swollen by the wax. The modified and swollen coal was pyrolyzed at 1037K, which realized significant increases in the total volatiles and the liquid yield. The increases were found to be realized through the suppression of crosslinking and the acceleration of hydrogen transfer from wax to coal.