Oil-coated particles are often encountered in the ambient and industrial working environments. However, experimental investigations have rarely been carried out on the loading behavior of filters loaded with oil-coated particles. In this study, the effects of the overall particle size, oil volume percentage, filter material, and surface tension and viscosity of the coating oils on the filter loading characteristics were examined. It was found that the general oil-coated particle loading behavior of filters transitions from that of solid-only particles to that of oil-only particles as the liquid volume percentage in the test particles increases. The typical transition trend of oil-coated particle loading curves is believed to be due to an increase in the fluidity of deposited oil-coated particles as the liquid percentage increases. It is further observed that, when the liquid volume percentage in coated particles is less than 50%, the filter loading behavior is dominated by the effect of the liquid surface tension and the filter pressure drop is largely due to the solid core of coated particles. Both the surface tension and viscosity of coating liquid influence the filter loading behavior when the liquid percentage in coated particles is higher than 50%.