Provided is an exhaust gas combustion device which is capable of early prevention of clogging, and also a power generator including the device. An exhaust gas combustion device of the present invention includes: a DPF; a sensor which measures the pressure of exhaust gas to be introduced into the DPF; a sensor which measures the pressure of exhaust gas purified by the DPF; and a controller which receives outputs from both sensors and calculates a pressure difference. When the pressure difference is equal to or larger than a preset threshold, the heater is supplied with power from a power generating unit to thereby heat exhaust gas. Accordingly, PM accumulated inside the DPF is combusted and removed, preventing excessive clogging of the DPF even during light-load operation.