In most surface caves, and sometimes on the side of cliffs. If you cannot find coal to survive your first night, then get some logs and bake it in a furnace to make charcoal.
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You can find coal veins almost anywhere. Look at the side of stone cliff faces.
You can generally find coal underground located within the rock layers, but you can also find it sometimes on the surface.
Underground
You can find coal by mining but you can get charcoal by burning wood.
you must find flint and tender and coal