The invention relates to an apparatus and a method for producing oil by means of coal pyrolysis. The apparatus comprises a gasification furnace. A gasification nozzle is arranged on the top of the gasification furnace, a gasification chamber is arranged on the upper portion of the gasification furnace, a chilling chamber is arranged at the bottom of the gasification chamber, a bottom outlet of the gasification chamber is communicated with the chilling chamber via a downcomer, and a residue outlet is formed in the bottom of the gasification furnace. The apparatus is characterized in that the gasification furnace is connected with a pyrolysis chamber by a synthesis gas delivery passage, a coal nozzle is arranged on the top of the pyrolysis chamber, temperature reducing nozzles are arranged in the middle of the pyrolysis chamber, and a product outlet is formed in the bottom of the pyrolysis chamber. The apparatus and the method have the advantages that coal gasification and coal hydrogenation requirements can be simultaneously met without additional hydrogen sources; a gasification system and a pyrolysis system are independent from each other, accordingly, the apparatus and the method are favorable for stable running of reactors, and the apparatus can be advantageously enlarged.