A PM2.5 (fine particulate matter) removal system for a thermal power plant is characterized by comprising a general dust collector and a high-gradient magnetic dust collector, wherein the general dust collector is provided with an air inlet and an air outlet, the air outlet of the general dust collector is connected with the high-gradient magnetic dust collector through a connecting pipe, and an air outlet of the high-gradient magnetic dust collector is connected with a smoke exhaust pipe. The PM2.5 removal system can effectively remove all particulate matters, especially PM2.5, reduce environmental pollution and solve the problem of insufficient PM2.5 removal capacity of the conventional dust removal device.