The invention discloses a conical cyclone separator and a dust collecting apparatus including the same. The multi-conical cyclone separator includes a multi-conical main body and a fitting multi-conical cover body, the multi-conical main body has conical tubes, the multi-conical cover body has diversion columns which correspond to the conical tubes one by one, the diversion column is inserted into the corresponding conical tube to form a casing structure, the side of each conical tube of the multi-conical main body is provided with an air inlet and a compensation tuyere for compensating an inlet air flow rate to reduce a negative pressure in the conical tube and improve a dust-gas separation effect.