Three kinds of iron-containing magnetic ionic liquids (ILs), including imidazole-based, pyridine-based, and pyrrolidine-based ILs, were synthesized respectively, and were used to dissolve coal direct liquefaction residues (CDLR) to obtain asphaltene fractions under the conditions of given time, temperature, and mass ratio of ILs to CDLR. The extracts from CDLR were characterized by ultimate analysis, proximate analysis, FT-IR, and C-13 NMR. The results show that physicochemical properties of the extracts obtained with different magnetic ILs consisting of different cationic rings are different, and pyridine-based magnetic IL is an effective extractant to extract asphaltenes from CDLR among the three magnetic ILs. The extracts might be good precursors for preparing high-value-added carbon materials because of their higher carbon content, lower H/C, and ash content.