PURPOSE: To prepare a light oil in a high yield by fractionating product obtained by coal liquefaction, mixing the specific middle-boiling fraction with the high boiling fraction and using the resulting mixture as a solvent for coal liquefaction to self-support the solvent.

CONSTITUTION: In the slurrying step 1 a coal is mixed with a solvent and option ally a catalyst to prepare a slurry. In the liquefaction reaction step 2 the slurry is allowed to react in the presence of H2 to liquefy the coal. In the fractionation step 3 the reaction product is fractionated into fractions having (a) a boiling point of 200°C or lower, (b) a boiling point of 200W250°C, (c) a boiling point of 250W350°C, (d) a boiling point of 350W540°C and (e) a boiling point of 540°C or higher. The whole or part of the component (b) is hydrogenated in the hydro genation step 4 according to need and mixed with the whole or part of the component (d). The resulting mixture is returned to the slurrying step 1 to use it as a solvent for coal liquefaction. The components (a) and (c) are collected as a final light oil product. The component (e) is removed from the system as a difficult-to-liquefy component and ash.