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Saturation characteristics of water and capillary pressure are important for hydrofracturing or water flooding, which is widely adopted in dust suppression, methane displacement, and gas and coal outburst elimination. In this paper, we have studied the water saturation characteristics of coal samples with different coal ranks and their effect on capillary pressure. It was found that the isothermal adsorption of water vapor from coal samples can be divided into three processes: monolayer adsorption, multilayer adsorption, and capillary condensation. The dent isothermal adsorption model can well describe water vapor adsorption of coal samples, indicating water molecules were first adsorbed on the first‐order adsorption site of pore surfaces at low relative humidity and then on the second‐order adsorption site with increasing relative humidity. An obvious hysteresis occurred in the process of water imbibition and drainage. A capillary pressure of ~325 MPa or even larger was required to displace the water from the coal. Besides, micro‐ and mesopores play a more important role in capillary pressure. The capillary pressure of coal samples was positively correlated with wettability at lower water saturation, but it is not significant at higher capillary pressures. Therefore, the article's results provide a new direction for solving the water‐locking effect in coal seams. [ABSTRACT FROM AUTHOR]