CO2 sequestration in coal is mainly attributed to adsorption. The adsorption experiments of CO2 were conducted at injection pressures ranging from 1 to 3 MPa on coal samples with five kinds of particle sizes. The fitting degree of four classical adsorption models to experimental adsorption data was systematically compared. The adsorption properties of CO2 were comprehensively discussed. The temperature changes of coal samples at different positions during CO2 adsorption were measured by using the improved adsorption tank, and then the energy conversion law was obtained. The results showed increasing gas injection pressure can effectively increase the adsorption capacity of CO2 on coal samples. The BET equation had the best fitting accuracy for CO2 adsorption on various size coal samples. There was a significant exothermic effect during CO2 adsorption and storage. With the rise of injection pressure, the peak value of the rising temperature of coal samples increased, but the change rate decreased. The maximum temperature rise of coal samples was up to 13.6 °C at 3 MPa, which should be of great concern for the prevention of coal spontaneous combustion. During the sequestration process of CO2, the adsorption resulted in a decrease in coal surface free energy and then partial conversion to heat, leading to the rise of coal temperature. In addition, the CO2 adsorption on the pore surface caused the expansion and deformation of coal.