The occurrence of sulfur in coal direct liquefaction residue affects its further high quality and high value utilization. Electrochemical desulfurization is characterized by mild reaction conditions, simple operation, easy separation of sulfur conversion products and little influence on the properties of the liquefied residue. An anodic electrolytic oxidation desulphurization experiment was carried out on the liquefaction residue of the by-product of a coal-to-liquid enterprise in the slurry state. An electrochemical test and material characterization of raw materials before and after electrolysis showed that electrolytic oxidation can desulfurize the liquefaction residue under an alkaline condition. Linear sweep voltammetry (LSV) was used for the electrolysis experiments to obtain the optimal slurry concentration of 60 g/L. On this basis, the reaction kinetics were calculated, and the minimum activation energy in the interval at 0.9 (V vs. Hg/HgO) was 19.71 kJ/mol. The relationship between the electrolytic desulfurization of the liquefied residue and energy consumption was studied by the potentiostatic method. The influence of anodic potential and electrolytic temperature on the current density, cell voltage, desulfurization rate and energy consumption was investigated. The experimental results showed that the desulfurization rate and total energy consumption increase positively with the increase in reaction temperature and electrolytic potential in a certain range. The influence of the reaction temperature on the desulfurization rate and total energy consumption is more prominent than that of electrolytic potential, but the energy consumption of sulfur removal per unit mass does not show a positive correlation. Therefore, with the energy consumption per unit mass of sulfur removal as the efficiency index, the optimal experimental results were obtained: under the conditions of 0.8 (V vs. Hg/HgO) anode potential, 50 °C electrolytic temperature, 60 g/L slurry concentration and 14,400 s electrolytic time, the desulfurization rate was 18.85%, and the power consumption per unit mass of sulfur removal was 5585.74 W·s/g. The results of XPS, SEM, BET and IC showed that both inorganic and organic sulfur were removed by electrolytic oxidation, and the morphology, pore structure and chemical bond of the liquefied residue were affected by electrolytic oxidation. The research method provides a new idea and reference for the efficiency evaluation of desulfurization and hydrogen production from coal liquefaction residue.