<p>The relationship between mechanical behaviors at macro and microscales is crucial for supplementing and explaining the physical and mechanical properties of loaded coal. The in situ loading machine for small angle X-ray scattering (SAXS) experiments is designed to study the mechanical properties and damage evolution mechanism of loaded coal at the micro/nanoscale. The research shows that distinct differences in coal’s mechanical properties at different indentation depths, with the hardness, elastic modulus, and fracture toughness showing variability at shallower depths. However, as the depth increases, the homogeneity and repeatability of these properties improve, reflecting more stable micromechanical behaviors. Furthermore, the surface fractal dimensions characteristics of coal mass under the SAXS experiments indicate that any increase in load does not change its surface roughness, while the complexity of the pore structure increases with its decreasing fractal dimensions. Moreover, the impacts of mineral contents and pore structures on the coal’s macromechanical behavior are examined by the Mori–Tanaka homogenization method. The obtained results showed that mineral contents and pore size significantly influence the mechanical response of coal mass, leading to changes in the coal’s elastic properties at different scales. The relationship between the microstructural damage and macroscopic failure mechanisms in coal is explored by highlighting the role of microcracks and structural roughness in determining the material’s ultimate failure behavior.</p>