Abstract: The third vacuum residue slurry from direct coal liquefaction is mainly composed of highly condensed aromatic compounds with a high content of asphaltenes. Supercritical solvent extraction can not only effectively remove most of the asphaltenes but also separate the slurry into multiple narrow fractions with high aromaticity through selective solvent dissolution, providing a new approach for the high-value utilization of this slurry. In this study, the third vacuum residue slurry was separated into eight narrow fractions using supercritical extraction technology. Among them, fractions No. 2, No. 5, and No. 8 were selected as raw materials for the preparation of mesophase pitch through thermal polycondensation. The results showed that at 470 °C, the mesophase pitch derived from fraction No. 2 exhibited the highest mesophase content, reaching 86%, whereas fraction No. 8 showed the lowest mesophase content of 67%. The flow domain structures of the three samples were similar. At 490 °C, the mesophase contents of fractions No. 5 and No. 8 increased, while fraction No. 2 still maintained the highest mesophase content. Meanwhile, the large flow domain structures of all three samples decreased, indicating that the increase in reaction temperature intensified the thermal reaction process and promoted the formation of mosaic and small flow domain structures.