For investigating the effectiveness of ash and dolomite on the migration of sulfur from coal pyrolysis volatiles, pyrolysis experiments of Xinzhou high-sulfur bitumite were executed in a self-designed reactor. The influences of heat carrier species, mass ratios of ash to coal, and ash particle sizes on the sulfur content in products were investigated. More importantly, the composition of sulfur-containing compound in tar was analyzed. The effect of different heat carriers on the volatiles was in the order of ash > fresh dolomite > deactivated dolomite. With ash and dolomite as heat carriers, H2 and CO decreased, and CO2 increased. In addition, H2S content was positively correlated with H2 content. The deactivated dolomite contains a large amount of CaS and MgS, and its influence on pyrolysis volatiles was weaker than that of fresh dolomite and CFB ash. When fresh and deactivated dolomites were used as heat carriers, the sulfur contents in tar and in heat carrier were higher than that in ash. Fe2O3, CaO, and MgO were the main components for sulfur fixation and tar catalysis in heat carriers. Mercaptan was easily oxidized by metal oxides. Ash and dolomite heat carriers had a certain catalytic effect on the cleavage reactions of thiopyrans and thiazoles. This research is worth for the purification of sulfur-containing pollutants in coal pyrolysis process by ash and dolomite.