The relationship between the structure characteristics and performances of coal-based hydrogenation isomeric (CTL) base oil and metallocene-catalyzed coal-based poly-alpha-olefin (mPAO) base oil is clarified in this paper. CTL and mPAO were compared with typical petroleum-based and natural gas-based commercial API III and IV base oils. Pressurized differential scanning calorimetry (PDSC), the rotary bomb oxidation test (RBOT), and a four-ball friction tester were used to evaluate the oxidation stability and lubrication performance of base oils under different working conditions. The sensitivity of different base oils to typical antioxidants and extreme-pressure antiwear agents was compared. In particular, the composition and structure of CTL base oil are clearly different from GTL and mineral base oil. The coal-based CTL and mPAO base oils exhibit commendable viscosity–temperature properties, coupled with low-temperature fluidity, fire safety, and minimal evaporation loss. The lubricating properties, oxidation stability, and sensitivity to extreme-pressure antiwear agents of CTL are close to those of similar base oils. However, the sensitivity of CTL to typical antioxidants is relatively poor. In addition, compared with commercial PAO base oil, mPAO has a lower isomerization degree and fewer isomerization types. The oxidation stability and sensitivity to typical antioxidants of mPAO base oil are comparable with those of commercial PAO base oil, while its lubrication performance and sensitivity to typical extreme-pressure antiwear agents are significantly better than those of commercial PAO base oil.