The instant disclosure relates to a granular bed filtration system with gas entrained recycling for thermal power plants to filter dust from the exhaust gas. The granular bed filtration system comprises a flow channel, a gas intake, a gas exhaust portion, a granular sieving unit, a vacuum, a cyclone separator and a pneumatic transporting device. The flow channels guide filtering media to filter the inlet gas, and then the filtered gas is exhausted through the gas exhaust outside of the granular bed filtration system. The granular sieving unit separates the filtering media and dust. The vacuum, pneumatic transporting device and cyclone separator repeatedly deliver the filtering media by gas-entrainment recycle.