The images were broadcast on state television Monday night — part of government efforts to depict top leaders as being in touch with the concerns of ordinary people.
Wen has spent previous holidays chatting with farmers about grain prices or sharing dumplings with miners some 700 meters (2,300 feet) underground.
This weekend, Wen traveled to the central province of Shaanxi where 166 coal miners were killed in an explosion in November, state media said. The blast was one of the deadliest disasters in a decade to hit China's (search) accident-prone mining industry.
"This accident has taught us a lesson paid for with blood," Wen was quoted as saying by the official Xinhua News Agency. "We must hold ourselves responsible to the miners, the people and the children."
The nightly news broadcast showed Wen standing outside the mine, his breath visible in the cold winter air, calling for better mine safety measures and more training. He also promised that victims' families would be cared for.
However, no new concrete initiatives were announced.
The Chinese government has promised repeatedly to improve mine safety and says the accident death rate is falling. But the government still bars independent labor unions, which have played a role in other countries in improving workplace safety.
"It's hard for me to even think of words to say," Wen told one family as he sat with them in their home and held their hands.
In another scene, Wen wore overalls and a hard hat and carried a flashlight as he descended into the mine to meet workers. He then shared a lunch of steamed buns with them.
"Coal is the mainstay of China's energy supply," Wen was quoted by Xinhua as saying during his two-hour trip underground. "Miners deserve the attention, respect and care of the whole society."
China's mines are by far the world's deadliest, with fatal fires, cave-ins, floods and other disasters reported almost daily.
More than 5,300 coal miners died in China's mines in 2004.
Mine owners and local officials are frequently blamed for putting profits ahead of safety, especially as the nation's soaring energy needs increase demand for coal.