Rare earth elements (lanthanide and yttrium, abbreviated as REY) provide important support for national security, energy production, environmental protection and economic growth. In recent years, many studies have shown that the content of REY in some coal or coal by-products is close to or even higher than that in traditional REY ore, which makes coal a potential source of REY. This study took the No. 17 coal of Panzhou mining area in Liupanshui coal field as the research object, and the content and occurrence modes of REY in raw coal and 7 density fraction samples were studied. The results show that the content of REY in the raw coal reaches 220.67 μg/g, which is significantly higher than the average REY content in the world coal and Chinese coal as reported in the literature. Gravity separation has a certain pre-enrichment effect on REY and the fraction sample ＞1.8 g/cm³ has the highest REY of 426.27 μg/g (equal to rare earth oxide 0.1%). Study on correlation between REY and ash yields reveals that the organic affinity of the light rare earth is higher than that of the medium rare earth and the heavy rare earth. As shown by X-ray diffraction (XRD) and X-ray flouresence spectroscopy (XRF), the major minerals in coal are kaolinite, quartz and calcite, and the content of REY in coal is significantly related to Al, Si and kaolinite, which implies that REY occur mainly in kaolinite. Laser ablation inductively coupled plasma mass spectroscopy (LA-ICP-MS) was adopted to determine chemical composition of micro-zone in kaolinite in coal and the results show that there is no obvious correlation between REY and the contents of Al and Si. This indicates that the REY occur probably in the form of adsorption. The research results provide a scientific reference for the potential extraction of the associated REY in the coal.