A scientific prediction of coal consumption provides an important basis for rational planning of coal production and coal supply. According to the coal consumption of Hunan Province from 1982 to 2010, this paper sets up the ARIMA model and predicts the coal consumption from 2011 to 2015. Research shows that the prediction result of ARIMA (1,1,3) model is good, which forecasts error only 4 percent from 2005 to 2010; Hunan’s coal consumption during 2011-2015 will continue to keep the rising trend, but the growth will be somewhat lower.