A large amount of fugitive coal dust is generated during the mining, transportation, and processing of coal. The moisture content of the coal dust has a significant influence on the dust collection performance of filters, although relatively few studies on this phenomenon exist. This study deals with six groups of coal dust samples with moisture contents ranging from 0 to 12 wt.% and tested the pressure drop as the coal dust was deposited onto three different types of filters. The specific resistance, compression coefficient, and porosity of the coal dust cake were analyzed, and the cake/filter adhesive force was tested using the reverse flow cleaning method. This research demonstrates that the influence of the moisture content on the specific resistance, compression coefficient, and porosity of the coal dust cake can be divided into two phases (according to the critical moisture content of 4 wt.%): first, as the moisture content increased from 0 to 4 wt.%, the cake resistance and compression coefficient increased and the cake porosity decreased; and second, as the moisture content increased from 4 to 12 wt.%, the cake resistance and compression coefficient decreased and the porosity increased. The coated and repellent filters possessed a lower adhesive force on the coal dust cake than the conventional filter. The comparison of all three of the filters revealed that the adhesive force between the repellent filter and the dust cake was the least sensitive to the moisture content.