In this paper, direct coal liquefaction residue was prepared from Shen-dong coal, and the solubility of the residue in five organic solvents was studied. Then, an experimental device was set up to recover molybdenum (Mo) compounds from the direct coal liquefaction residue after extraction, and the influences of sublimation temperature and duration on recycling efficiency were examined. The recycled Mo-based products were characterized using scanning electron microscopy (SEM), X-ray diffraction (XRD), Fourier-transform infrared spectroscopy (FT-IR), and a thermal analyzer. The results reveal that the optimum extraction conditions were obtained through ultrasonic extraction with a quinoline solvent and the highest recycling efficiency occurred for sublimation at 900 °C for 30 min. The recycled products are identified to be α-MoO3 crystals. Moreover, the α-MoO3 crystal is thermally stable before the temperature reaches its melting point.