On a semi-continuous apparatus, a weakly reductive Shenfu-Dongsheng (SD) coal and a reductive Pingshuo (PS) coal were non-isothermally extracted with sub- and supercritical water to explore the differences between the two coals. The effect of the temperature on the extract formation rate, conversion, and product composition under different pressures was investigated. The extraction results of two coal samples indicate that the extract formation rate has a maximum in the studied temperature range between room temperature and 500 °C. The temperature corresponding to the maximum extract formation rate, changing with the pressure, is between 390 and 410 °C. The gas yield, extract yield, and conversion of two coals increase with the increasing pressure. In comparison to PS coal, SD coal has a low temperature corresponding to the maximum extract formation rate under the same pressure. Both coals have a main fraction of asphaltene, but SD coal has a higher fraction of oil than PS coal. The main gas components are CO2, CH4, and H2. The gas from PS coal has a higher CH4 content and lower CO2 content than that from SD coal. The analysis results of the extraction residue indicated that SD coal has a low residue yield and the residue shows a large surface area and small average pore diameter compared to PS coal.