A study was conducted on the use of a Moving Bed Heat Exchanger-Filter (MHEF) for removing fine dust particles from gases. The influence of a number of variables was examined, including gas velocities, solid velocities, gas temperatures and dust sizes. The collection efficiency was found to decrease with increasing temperature; the total collection efficiency decreases strongly when the solid velocity increases. A stable numerical model for filtration and heat exchange was developed that predicts the two dimensional transient response of both solid and fluid phases. The numerical model incorporates variation in void fraction, velocities and transport coefficient due to combined processes of filtration and heat exchange.