A method for drying high moisture, low calorific value lignite for a generating set and recovering water contained therein and an apparatus thereof mainly consist of a rotary steam tube dryer, a washing cooling tower, a coal mill, a first bag filter, a condenser, a weighing surge bunker, a water ring vacuum pump and so on. A drying system is integrated with a milling system, every dryer and the corresponding coal mill are disposed and are directly connected via a surge bunker, thereby not only saving the heat lost during the transportation of pulverized coal, but also omitting a long-distance transportation from a conventional drying system to a conventional milling system, effectively avoiding such phenomena as dust pollution, waste and spontaneous combustion during transportation and transshipment, simplifying the coal preparation system employed in the front-end process of drying.