Pyrolysis experiments of cotton stalk (CS) and Shenmu coal (SM) were conducted in a tubular furnace. The pyrolysis temperature was 600 °C at 5 °C/min and sustained for 15 min. The water-soluble small molecule compounds (WSMC) were derived from the liquid products obtained during pyrolysis with the methods of toluene entrainment and ultrasonic extraction. The compositions of WSMC were further characterized by gas chromatography–mass spectrometry (GC-MS). The components of the syngas were analyzed by gas chromatography (GC). The results showed that the phenol yield was promoted by the interaction of CS and SM during co-pyrolysis. Moreover, the co-pyrolysis interaction blocked the radical reaction pathway that produces amides and accelerated the formation of pyridines. Because the ester yield increased, the esterification was clearly enhanced and the yield of carboxylic acids in WSMC was reduced during co-pyrolysis. In addition, the inhibition of furan generation resulted in an increased yield of C2–C4 hydrocarbons in the co-pyrolysis syngas. The maximal yields of C2–C4 hydrocarbons all occurred at a 20/100 ratio of CS/SM. Lastly, the formation mechanisms of small molecule compounds were proposed.