A method for drying a water retentive substance such as okara which comprises adjusting the shape of a water retentive substance having a water content of 55 to 95% by weight to particles having a particle size of 1.5 to 13 mm and drying by using a novel improved pneumatic conveying drying apparatus comprising a dryer section, a pulverizer section provided at the lower part of the dryer section and a classifier section at the upper part of the dryer section, the substance to be dried being fed to the dryer section at a site at least 500 mm above the pulverizer section. The novel drying apparatus is also provided.