During coal and rock loading, a significantly large number of electromagnetic signals are generated as a result of fracture appearance and crack expansion. The generation of electromagnetic signal is the comprehensive embodiment of the coal rock failure behavior. Therefore, the generated signals contain complex and rich messages that can reflect the damage process and degree of coal and rock. In this work, the multifractal theory is applied to analyze the nonlinear characteristics of the electromagnetic wave and its spectrum induced during coal rock, which present good correlation with failure process. The failure process of coal rock is non-uniform, non-continuous and nonlinear, during which, there is a good synchronization and correlation between the electromagnetic pulses and the stress drop, rather than the stress. Both waveform and its spectrum of electromagnetic signal have multifractal characteristics, the larger the fracture scale is, the more significant the multifractal characteristic of electromagnetic signal is, and the multifractal characteristic of electromagnetic signal from coal is higher than that from sandstone. The difference of fracture energy and size can be represented by the maximum of the multifractal dimension Dqmax of the electromagnetic wave and its spectrum during coal rock failure. In the electromagnetic spectrum, small signals are always dominant, and the dominant frequency is only a few isolated points. What is more, with the increase of fracture size, the difference between the dominant frequency and the non-dominant frequency is gradually enhanced.