To reveal the mechanism of interaction between coal fines and gas in the unsaturated flow stage of coalbed methane (CBM) drainage, it is essential to formulate the drainage system and improve the gas production. The effect of air bubbles with different diameters on coal fines with different particle sizes and densities was systematically experimented through the experiment device for microscopic interaction between the air bubble and the coal fines. Meanwhile, the influence of air bubbles on the migration trajectory and velocity of coal fines and the characteristics of coal fine capturing by air bubbles were also analyzed. The results show that the production of air bubbles could affect the migration trajectory of coal fines, and even capture and carry coal fines. Typically, three types of motion are generated in the coal fines through the air bubbles: the coal fines may migrate along the surface of the air bubble to the bottom to be captured or fall off at last, or be repelled upon its approaching to the air bubble with the migration trajectory deflected. If the coal fines are captured by air bubbles, the velocity will decrease at first, then increase, and finally decrease. If the coal fines are not captured by air bubbles, the velocity will decrease at first, followed by increase and decrease successively, and increase finally. The capture efficiency of air bubbles to coal fines under different conditions ranges from 64.38% to 86.64%. The maximum capture probability occurs near the highest point of the bubble surface, and with the increase of the deviation angle, the capture efficiency of bubble shows a decreasing trend. At the same collision position, the capture efficiency of air bubbles on coal fines decreases with the increase of coal fines in density and particle size, but increases with the increase of bubble diameter. In the initial stage of CBM production, the depressurization rate should be reasonably controlled according to the actual conductivity of the reservoir. In case of large reservoir conductivity, the drainage rate should be increased to increase the disturbance and capture of gas desorption to coal fines, so that a large amount of coal fines will be produced with groundwater or air bubbles. In case of small reservoir conductivity, the drainage rate should be appropriately reduced to prevent the migration of a large amount of coal fines due to the rapid desorption of gas. At the same time, the production of coal fines in the near-wellbore area may be stimulated with the great carrying capability of air bubbles for coal fines, so as to increase the conductivity of the reservoir.