Abstract A novel process for the preparation of an ultra-clean superfine coal–oil slurry is presented. The process uses a high-pressure water-jet mill and a pumping slurry jet mill for coal superfine comminution. The mean diameter of coal particles in the slurry is 2.71 μm, and the ash content is 1.05%. The stability, rheological behavior, and heat value of the slurry are investigated. The results show that the ultra-clean superfine coal–oil slurry has a high heat value, a high level of stability, and low viscosity. The slurry can be used as fuel in a high-speed diesel engine. The total energy consumption of comminution of the coal particles to reduce the mean diameter from 3 mm to about 2.71 μm is 124 kW h per ton, which is lower than the total energy consumption by traditional ball mills by about 50–70%.