We investigate the time-dependent behaviour of the energy current between a quantum spin chain and its surrounding non-Markovian and finite temperature baths, together with its relationship to the coherence dynamics of the system. To be specific, both the system and the baths are assumed to be initially in thermal equilibrium at temperature Ts and Tb, respectively. This model plays a fundamental role in study of quantum system evolution towards thermal equilibrium in an open system. The non-Markovian quantum state diffusion (NMQSD) equation approach is used to calculate the dynamics of the spin chain. The effects of non-Markovianity, temperature difference and system-bath interaction strength on the energy current and the corresponding coherence in cold and warm baths are analyzed, respectively. We show that the strong non-Markovianity, weak system-bath interaction and low temperature difference will help to maintain the system coherence and correspond to a weaker energy current. Interestingly, the warm baths destroy the coherence while the cold baths help to build coherence. Furthermore, the effects of the Dzyaloshinskii–Moriya (DM) interaction and the external magnetic field on the energy current and coherence are analyzed. Both energy current and coherence will change due to the increase of the system energy induced by the DM interaction and magnetic field. Significantly, the minimal coherence corresponds to the critical magnetic field which causes the first order phase transition.