As an important component of the natural resources and energy market, China's coal market has experienced a continuous downturn in recent years. Many coal enterprises have been diversifying their businesses in an effort to enhance their corporate performance. Although many studies have examined the relationship between diversification and performance, researchers have not reached a consensus regarding the nature of this relationship. Additionally, to our knowledge, no study has specifically examined this relationship in coal enterprises. In view of China's coal industry characteristics, such as natural resource dependence and state ownership, other industries’ diversified development could not provide good consults for it. In this study, we investigate the relationship between diversification and corporate performance by analyzing the business data of all of China's listed coal enterprises. After determining 35 listed coal enterprises’ main business and the proportion of their profit from the coal business, we choose 10 enterprises as representatives. Correlation and regression analyses including the time-series data analysis and panel data analysis are conducted to examine the relationship between diversification and performance. The results indicate that this relationship varies across firms; we observe nonlinear, positive linear, negative linear, and nonexistent relationships in the sample. Therefore, diversified development is not the “panacea” for the decline of coal enterprise. Enterprise performance is determined by integrated internal and external factors beyond diversification, including the market environment, the industry environment, and policy. Coal enterprises that aim to develop diversification strategy should be cautious. In addition, this study can serve as a reference for other energy enterprises that are planning to diversify their business to improve performance.