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We investigate the behavior in time of the energy current between a quantum spin chain and its surrounding non-Markovian, 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 $T_s$ and $T_b$, respectively. This model plays a fundamental role for the 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 bath non-Markovinity, temperature difference and system-bath interaction strength on the energy current and the coherence in warm and cold baths are analyzed, respectively. For both cases, our calculation results show that strong non-Markovianity, weak system-bath interaction and low temperature difference will be helpful to maintain the coherence of the system and correspond to a small energy current. Interestingly, the warm baths destroy the coherence while the cold baths help to generate 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 improvement of the system energy induced by the $DM$ interaction and magnetic field. Significantly, the lowest coherence corresponds to the critical magnetic field which causes the first order phase transition.