Abstract: To investigate the elasto-plastic embedment behavior of proppant during coalbed methane (CBM) production, a mechanical testing system equipped with a high-precision displacement sensor was used to design and conduct proppant-embedment tests under multi-stage loading. For each loading/unloading stage, the load–displacement curves and embedment characteristics were comparatively analyzed. Based on the load–displacement response during loading/unloading, a method was proposed to quantify the elastic and plastic components of indentation throughout the embedment process. Using this method, embedment depths were measured for six groups with different proppant sizes and areal placement concentrations, and the associated elasto-plastic features were analyzed. Building on Hertzian elastic contact theory and the von Mises yield criterion, a model for elasto-plastic embedment depth was established and validated against the experimental data. The results show that, with increasing load, the load–displacement response becomes progressively nonlinear; the curve exhibits a “sparse–dense–sparse” pattern, and the indentation response evolves from elastic to plastic. As the proppant placement concentration increases, interparticle interactions introduce tangential stresses in addition to axial stress in the coal specimen, leading to shear failure at the contact interface. Proppant embedment occurs mainly during the initial loading stage and at high load levels, and the embedment depth follows an increase–plateau–increase trend corresponding to three stages: local interfacial crushing dominated by elastic deformation; expansion of the interfacial plastic zone dominated by plastic deformation; and complete plastic embedment under high loads—corresponding to elastic indentation, elastoplastic indentation, and fully plastic indentation, respectively. The proposed model shows good agreement with the experiments, with an average error of 13.5%, and effectively describes embedment depth under varying load levels.