Multimodal Large Language Models (MLLMs) have achieved impressive success in natural visual understanding, yet they consistently underperform in industrial anomaly detection (IAD). This is because MLLMs trained mostly on general web data differ significantly from industrial images. Moreover, they encode each image independently and can only compare images in the language space, making them insensitive to subtle visual differences that are key to IAD. To tackle these issues, we present AD-Copilot, an interactive MLLM specialized for IAD via visual in-context comparison. We first design a novel data curation pipeline to mine inspection knowledge from sparsely labeled industrial images and generate precise samples for captioning, VQA, and defect localization, yielding a large-scale multimodal dataset Chat-AD rich in semantic signals for IAD. On this foundation, AD-Copilot incorporates a novel Comparison Encoder that employs cross-attention between paired image features to enhance multi-image fine-grained perception, and is trained with a multi-stage strategy that incorporates domain knowledge and gradually enhances IAD skills. In addition, we introduce MMAD-BBox, an extended benchmark for anomaly localization with bounding-box-based evaluation. The experiments show that AD-Copilot achieves 82.3% accuracy on the MMAD benchmark, outperforming all other models without any data leakage. In the MMAD-BBox test, it achieves a maximum improvement of $3.35\times$ over the baseline. AD-Copilot also exhibits excellent generalization of its performance gains across other specialized and general-purpose benchmarks. Remarkably, AD-Copilot surpasses human expert-level performance on several IAD tasks, demonstrating its potential as a reliable assistant for real-world industrial inspection. All datasets and models will be released for the broader benefit of the community.