Abstract: In carbon dioxide-enhanced coalbed methane recovery (CO₂-ECBM), CO₂ injection into deep coal seams not only enhances methane production but also achieves geological carbon sequestration. China is the world’s third-largest coalbed methane resource, making CO₂-ECBM a strategically important technology. During actual field injection, the temperature and pressure of CO₂ change along the wellbore and within the formation, causing CO₂ to transition from a supercritical state (S_CCO₂) to a liquid state (LCO₂), and even a gaseous state. Consequently, coal is typically exposed to S_CCO₂ first and subsequently to LCO₂, that is, a sequential S_CCO₂—LCO₂ treatment regime. Although many studies have investigated the individual effects of S_CCO₂ and LCO₂ on coal properties, the coupled effects of such sequential treatments on the microstructure and micromechanical properties of coal remain poorly understood. The surface roughness of coal pores and fractures directly controls the gas flow and sorption capacity, whereas the micromechanical strength governs the initiation and growth of cracks, thereby influencing permeability and seam integrity. Therefore, clarifying how sequential S_CCO₂–LCO₂ exposure modifies these microscale features is crucial for designing optimal injection protocols that balance enhanced gas recovery and geomechanical safety. To address this knowledge gap, we selected anthracite—a high-rank, low-permeability coal typical of many Chinese reservoirs—from the Longfeng Coal Mine in Guizhou province, China. After carefully polishing the coal specimens to a fine finish, we subjected them sequentially to S_CCO₂ at 35 °C and 8 MPa for 72 h and subsequently to LCO₂ at 25 °C and 8 MPa for 72 h. The surface morphology was measured using an optical 3D profilometer based on fringe projection phase-shifting (measurement area 1.1 mm × 1.4 mm, five repeated measurements per region), thereby capturing both 2D roughness profiles along the nearly perpendicular- and the nearly parallel-to-bedding directions, as well as 3D areal parameters (arithmetic mean height Sa, developed interfacial area ratio Sdr, and root-mean-square height Sq). The nanomechanical properties were assessed via nanoindentation with a Berkovich indenter at a peak load of 20 mN using continuous stiffness measurements to map the elastic modulus and hardness. The same surface regions were tracked throughout all the treatment stages to enable direct comparisons. Microstructurally, after S_CCO₂ treatment, the 2D roughness in the nearly perpendicular-to-bedding direction increased by 2.37%–42.60%, and the 3D roughness parameters Sa, Sdr, and Sq increased in increments of 0.19%–217.50%, 2.90%–116.58%, and 3.14%–204.17%, respectively. Subsequent LCO₂ treatment caused the 2D roughness in the nearly parallel direction to decrease by 2.41%–67.89%, whereas the 3D parameters Sa, Sdr, and Sq, mostly decreased by 0.46%–56.18%, 0.32%–40.04%, and 2.58%–52.20%, respectively. Micromechanically, S_CCO₂ reduced the average elastic modulus and hardness by 5.53% and 8.91%, respectively, and the proportion of elastic energy decreased from 82% to 77%. After LCO₂, the elastic modulus further decreased by 5.06%, whereas hardness decreased by only 1.09%, and the elastic energy fraction remained at approximately 77%. Correlation analysis revealed that unlike LCO₂, S_CCO₂ increased the heterogeneity. These findings demonstrate a distinct differential transformation: S_CCO₂ uniformly coarsens and softens the coal matrix, whereas LCO₂ partially smooths the surface while further degrading the bulk stiffness mainly via fracture extension without significantly altering matrix plasticity. This study provides critical theoretical and experimental insights into the design of phase-transition-aware CO₂ injection strategies that optimize both methane recovery and long-term storage safety.