Abstract: The accumulation of coal gangue, a major solid waste generated from coal mining, poses increasingly severe environmental and ecological risks, including soil contamination, water pollution, and landscape degradation. As an advanced thermal conversion technology, pyrolysis has emerged as a promising approach for coal gangue valorization due to its clean disposal, high efficiency, and minimal secondary pollution. Among various strategies, the co-pyrolysis of industrial sewage sludge with coal gangue is considered an effective route to improve the pyrolysis characteristics of coal gangue and achieve synergistic solid waste utilization. In this study, coupled thermogravimetry–mass spectrometry (TG-MS) and Fourier transform infrared spectroscopy (FTIR) were employed to investigate the thermal decomposition behavior, kinetic parameters, volatile distribution, and interactions during the co-pyrolysis process, enabling real-time monitoring and comprehensive reaction analysis. The results revealed a distinct synergistic effect during co-pyrolysis. Specifically, the main thermal decomposition consisted of two distinct stages: a primary stage (210–410 °C) dominated by the decomposition of light organic fractions in the sludge, and a secondary stage (410–584 °C) driven by the cracking of heavy organic matter from both feedstocks. Notably, the difference between experimental and theoretical thermogravimetric (TG) curves was negative, serving as direct evidence of synergy. Furthermore, key pyrolysis evaluation parameters confirmed that sludge addition effectively enhanced overall thermochemical reactivity. Kinetics were evaluated using Kissinger–Akahira–Sunose, Ozawa–Flynn–Wall, and Starink models. The calculated activation energies for individual coal gangue and sludge ranged from 314.00 to 321.55 kJ/mol and 236.13 to 240.73 kJ/mol, respectively, whereas co-pyrolysis significantly reduced the overall activation energy, thereby lowering the energy barrier for thermal degradation. Additionally, FTIR and MS results demonstrated that while coal gangue produced negligible volatile products owing to its high ash content, the interaction between metallic minerals in coal gangue and the volatile matter released from sludge markedly promoted the formation of light hydrocarbons (e.g., C₂H₂ ⁺, C₃H₅ ⁺, and C₃H₇ ⁺ fragments). In conclusion, this work demonstrates that co-pyrolysis with industrial sewage sludge enhances thermochemical conversion performance, lowers activation energy barriers, and increases high-value gas yields, providing valuable theoretical insights and technical support for coal gangue resource recovery.