The production–life–ecology balance in mine–agriculture–urban compound areas is receiving increasing attention in the context of urbanization and industrialization. This study aims to explore the coordinated development modes of ecosystem services and resident well-being in the Pingshuo open-pit mining area and the surrounding mine–agriculture–urban compound area in Pinglu District, Shuozhou City. Relevant models were used to evaluate the ecosystem service value of water and soil conservation, as well as ecological sensitivity. Additionally, using the hierarchical multiple regression method, we analyzed the responses of soil and water conservation services and ecological sensitivity to different land use patterns. The results showed the following. (1) The water conservation function (WCF) and soil conservation function (SCF) were greatly affected by land use and supplied mostly by the natural habitat, followed by the open-pit coal mining area. (2) Ecological sensitivity was greatly affected by land use patterns, with obvious differences in the same land use types in different spatial locations. (3) In order to enhance the WCF and SCF of the study area and reduce ecological sensitivity, the area and diversity of forest and grassland should be increased, and the area of open-pit mining, cultivated land, and urban land, as well as the land use compound degree, should be reasonably controlled. This study will help guide the regional land use layout and provide countermeasures and suggestions for the management of ecosystems in the mine–agriculture–urban compound area.