The invention provides a particle-bed dust removal and heat exchange integration device which comprises a barrel, a filter/heat exchange composite structure and a filter material. A flue is formed onthe inner side of the barrel, the filter/heat exchange composite structure is arranged in the flue and comprises an N-graded component structure, the N-graded component structure includes heat exchange pipes arranged in two lines separated by a preset distance along the axial direction of the barrel, and a filter material space is partitioned between two lines of the heat exchange pipes in the barrel. The filter material space is filled with the filter material, and N is larger than or equal to 1. The particle-bed filter structure and the heat exchange structure are integrated, and the deviceis downsized.