Fine particulate matter (PM2.5) is one of the most serious environmental pollutants worldwide, and efficient separation technologies are crucial to the control of PM2.5 emission from industrial sources. We developed a novel method to enhance PM2.5 cyclone separation by droplet capture and particle sorting using a vertical reverse rotation cyclone (VRR-C, inlet particle-sorting cyclone). The separation performances of common cyclone (CM-C) without droplets, CM-C with droplets, and VRR-C with droplets were compared in terms of energy consumption, overall separation efficiency, particle grade efficiency, outlet particle concentration, and outlet particle size distribution. The results show that the highest overall separation efficiencies were 51.7%, 89.9%, and 94.5% for CM-C without droplets, CM-C with droplets, and VRR-C with droplets, respectively, when the mean diameter of the inlet particles was 3.2 μm and the inlet particle concentration was 500 mg/m3. The PM2.5 grade efficiency of VRR-C with droplets was as high as 89.8%, which was 6.2% and 49.9% higher than those of CM-C with droplets and CM-C without droplets, respectively. This novel method was first successfully applied to the deep purification of product gas in the methanol-to-olefin (MTO) industry, for which the separation efficiency of fine catalyst particles was considerably improved.