One of the ways to minimize anthropogenic emissions from coal combustion is to replace conventional schemes used for the introduction of coal dust into the furnaces of power plants through the injection of water-containing fuels. In this research, the three most promising schemes for fuel combustion were implemented: (i) the simultaneous introduction of coal particles and water droplets into the combustion chamber; (ii) steam injection into the fuel particle combustion zone; and (iii) the introduction of coal−water slurries into the furnace. Three methods of supplying water to the combustion zone were evaluated using the multi-criteria decision-making technique. Experimental research was conducted to record a range of process characteristics: the time of the gas-phase and heterogeneous ignition, the time of complete combustion, minimum ignition temperatures, maximum combustion temperatures, the completeness of the fuel burnout and the concentrations of the main gaseous emissions. It has been found that the most favorable scheme for coal particle combustion in water-steam environments is to produce fuel slurries. The cumulative indicator integrating the energy and environmental characteristics is 7−47% higher for slurries than for the other examined schemes for burning coal particles and slime.