An oil-coal co-hydrotreating processing includes the following steps: pulverized coal, vacuum residue and recycle oil are mixed to prepare coal slurry. After mixed with hydrogen, catalyst and additive, oil-coal slurry is preheated into a slurry bed reactor with high reacting pressure for thermal cracking and hydrogenation reaction. After reaction, all the products go into the hot high pressure separator for separation of solid from the bottom and gas from the top. The gas obtained goes into the fixed bed reactor for further hydrocracking or refining, and the distillate obtained enter the fractionating tower. The vacuum gas oil from the bottom of fractionating tower is taken as recycle oil piped to the oil-coal slurry mixing device as solvent.