Analyzing and mastering the fractal features of coal-measure sedimentary rocks is crucial for accurately describing the pore structure of coalbed methane resources. In this work, mercury intrusion porosimetry (MIP) and nuclear magnetic resonance (NMR) are performed on coal-measure sedimentary rocks (i.e., shale, mudstone, and sandstone) to analyze their pore structure. Pore size distributions (PSDs) and the multifractal dimensions of the investigated samples are discussed. Moreover, multivariable linear regression models of multifractal dimensions are established through a comprehensive analysis of multifractal characteristics. The results show that sandstone (SS-1) and clay rocks are dominated by nanopores of 0.01 to 1 μm, while sandstone (SS-2) is mostly mesopores and macropores in the range of 1 to 10 μm. The fractal characteristics of the investigated rock samples show a prominent multifractal characteristic, in which DA reflects the surface structure of micropores, while DS represents the pore structure of macropores. Multifractal dimension is affected by many factors, in which the DA is greatly influenced by the pore surface features and mineral components and the DS by average pore diameters. Moreover, multivariate linear regression models of adsorption pore and seepage pore are established, which have a better correlation effect on the multifractal dimension.