The nation's most oil-dependent state today announced approval of a $115 million plan to convert the largest power station in Massachusetts from oil to coal.

The Massachusetts Industrial Finance Agency voted Thursday to give New England Power Co. a $95.5 million tax exempt bond issue to help finance the project, Gov. Edward J. King said today.

The conversion, expected to begin in 1981, will make the Brayton Point Station in Somerset the largest plant in the country to switch voluntarily to coal, state and federal officials said.

The U.S. Environmental Protection Agency approved the plan in May after nearly four years of hearing and deliberations by an array of govermment agencies.

EPA spokesman Paul Keough said the plant, which generated 1.6 million kilowatts of electricity, will be even cleaner with coal than with oil because of pollution and a decrease in the amount of fly ash going into the atmosphere," Keough said.

King applauded the joint effort of government and industry, telling a press conference. "the single most important issue facing us today is to reduce out dependence on supplies of imported oil."

The governor said 12 million to 14 million barrels of foreign oil currently burned at the plant will be saved with the changeover -- the equivalent of two months of gas consumption in the state. Instead, an estimated three million tons of coal will be burned annually.

The company estimates its nearly one million customers in Massachusetts, Rhode Island and New Hampshire -- all of whom are heavily dependent on imported oil -- will save about $10 million a year.

The three units being converted at the Brayton Point Station burned coal as a primary energy source from 1968 to 1969 when they were changed to oil, company officials said. Coal was again burned in 1974 and 1975 on an emergency basis after the 1973-74 Arab oil embargo.