Coal-fired boilers tend to be equipped with considerable pollutant control equipment given the increase in environmental protection standard, thereby continuously increasing operating cost and decreasing the output rate of coal resources. Synergistic capture of pollutants may be a potential solution. In this work, a method for installing a cooling heat exchanger at the outlet of wet flue gas desulfurization scrubber is proposed to recover waste heat and capture fine particles. The cooling process of this method uses wet atmosphere, thereby indicating that this work differs from previous relevant works that are mainly based on dry deposition. Accordingly, the activity of particle reduction in the exchanger is also considered different. Thus, relevant mechanisms are recently explored on the basis of wet deposition through experiments. In addition to diffusiophoretic and thermophoretic depositions, particle growth or agglomeration is considered a dominant factor. Moreover, condensed water is crucial for cleaning, which may resolve the risk of fouling. Variable analysis of the influences of flue gas temperature drop, trapping surface area, initial particle concentration, and flue gas flow rate are also addressed in this work to provide references for engineering applications. Technical feasibility and economic evaluation of this method are discussed, through which possible measures for improvement are proposed. Furthermore, an applicable mode for heat recovery and a synergistic particle capture are presented, and an acceptable economic performance is estimated.