To solve the problem of efficient extraction of coal liquefied oil residue, the extractants with different properties, such as aliphatic hydrocarbon, aromatic hydrocarbon, oxygen-containing compounds, and simulated coking benzene, were selected for the extraction of coal liquefied oil residue. And the effects of solubility and polarity parameters of extractants on extraction rate and extract components were investigated. The results show that with the increase in solubility and polarity parameters of extractants, the extraction rate for coal liquefied oil residue increased and then decreased. The influence of the solubility parameter of extractants on the extraction performance was mainly reflected in their matching degree with the solubility parameter of the extractable components. The effect of the polarity parameter of the extractants was mainly the breaking of the associated structure of coal liquefied oil residue. When the solubility parameters of the extracts and extractants were close, the extraction performance was good, such as aromatic hydrocarbon and tetrahydrofuran. The main components of these extracts were polycyclic aromatic hydrocarbons. The extractants with larger polar parameters were more likely to destroy the associated structure of coal liquefied oil residue, resulting in higher contents of N and S elements in acetone, ethanol, and methanol extracts. Simulated coking benzene was a good solvent for extracting coal liquefied oil residue, which was easy to be recovered from solution, and the extraction rate of coal liquefied oil residue could reach more than 50%.