Nearly 33 million tons of sugarcane bagasse are produced in China every year, and a large amount of this is wasted. Pelletization is an efficient method of utilizing excess bagasse. This study uses a specially designed pelletizing device to identify how process parameters and biomass characteristics affect the densification of sugarcane bagasse. We used four-factor Box-Behnken experimental design and response surface methodology (RSM) to predict pellet density, specific energy consumption, and the radial maximum pressure of bagasse pellets and how they were affected by temperature (100, 140, and 180 °C), feedstock moisture content (6, 9, and 12%), particle size (0.5, 1.0, and 1.4 mm), and holding time (2, 3, and 4 min). Our results demonstrated that both temperature and moisture content significantly affected all responses evaluated, and that these interactions significantly affected pellet density and specific energy consumption. Temperature is the crucial factor determining the quality of bagasse pellets. High temperatures (140–180 °C) resulted in homogeneous, smooth, and shiny pellet surfaces, which had no cracks. Scanning electron microscopy analysis demonstrated a close connection between fibers at high temperatures. Particle size affected all responses except pellet density, while the influence of holding time on pellet density and radial maximum pressure was significant. RSM models determined the following optimal parameters: temperature (180 °C), moisture content (9%), particle size (0.5 mm), and holding time (3 min). Under optimal conditions, the pellet density, specific energy consumption, and radial maximum pressure of sugarcane bagasse pellets could reach 1172 kg m−3, 7.1 kJ kg−1, and 2539.4 N, respectively.