A significant proportion of the dust in industrial flue gas is melted particles and these particles can cause problems such as blockages, wear, and corrosion in heat exchangers. Therefore, these melted dust particles must be removed before heat recycling. A separator coupling the cyclone with the built-in granular bed filter has been put forward. By investigating the influences of the full bed/empty bed operation on the coupled separator, the pressure drop and the collection efficiency were obtained under two different operations, respectively. Comparative experiments were carried out in a pilot-scale cold-model experimental apparatus. The inlet dust concentrations varied from 5.95 g/m3 to 59.13 g/m3 and the inlet velocity varied from 9.06 m/s to 13.59 m/s, respectively. The experimental results indicated that the collection efficiency under the full bed condition was higher than that under the empty bed condition. While the entrainment effect on the trapped dusts and the collector particles was enhanced by high inlet gas velocity, the collection efficiency of the built-in granular bed filter was increased. Besides, the pressure drop was much lower under the full bed operation. As the downward movement of the collector particles, the dust cake formed on the inner screen surface was continuous rubbed so that the cake thickness was retrained. Based on the particle size analysis, the collection efficiency of the dusts below 5 μm was improved due to the built-in granular bed filled with the collector particles. It was evident that the collection efficiency was further improved by combining different separation mechanisms in the cyclone. According to parameter, i.e., the quality factor, the coupled separator with the collector particles was verified to have a better comprehensive performance both on the collection efficiency and the pressure drop. In general, the collection efficiency and the stability were strengthened by the introduction of the built-in granular bed filter in the coupled separator. In addition, these self-cleaning phenomenons should be investigated in the future.