Hopes of finding any survivors had faded when high temperatures, thick smoke and carbon monoxide forced rescuers to turn back after starting down a 60-metre (200-ft) vertical rescue shaft, China's official Xinhua news agency said.
The miner was taken to hospital in a critical condition from the Chiyu mine in Huozhou, reports said.
Bodies were recovered of the other 18 miners, who were believed to have died of suffocation and carbon monoxide poisoning, Xinhua said.
Further south, in Hunan province, officials said many miners were trapped underground when floods and landslides struck, leading to fears of more deaths.
Correspondents say that China's mine industry is one of the world's deadliest as well as being one of the largest.
State radio reported that 143 people were killed in coal mine accidents in July alone, and official media said 7,000 died last year.
Police in Shanxi have arrested eight people, including the mine's manager, after the latest incident.
Fire still burning
The effects of the fire, believed to have been started by an electrical cable in the main shaft, were compounded by other problems, Xinhua said.
"Initial investigations showed that the mine had no adequate safety systems and its owner, in order to evade safety checks, had ordered the miners to work secretly at night," it said.
Fire continues to burn in the coal mine, which has now been sealed off.
The state has recently ordered unsafe mines to close, but this is not in the interests of the local authorities, who rely on the mines' revenue.
Analysts say that the government's pledge to jail the officials responsible for poor safety may actually lead to more accidents going unreported.
More than 12,000 mines have closed because of safety concerns since last May.