Top-blow injection of a gas–solid jet through a circular lance is used in the Mitsubishi Continuous Smelting Process. One problem associated with this injection is the severe erosion of the hearth refractory below the lances. A new configuration of the lance to form an annular gas–solid jet rather than the circular jet was designed in this laboratory. With this new configuration, the solid particles fed through the center tube leave the lance at a much lower velocity than the gas, and the penetration behavior of the jet is significantly different from that with a circular lance where the solid particles leave the lance at the same high velocity as the gas. In previous cold-model investigations in this laboratory, the effects of the gas velocity, particle feed rate, lance height of the annular lance, and the cross-sectional area of the gas jet were studied and compared with the circular lance. This study examined the effect of the density and size of the solid particles on the penetration behavior of the annular gas–solid jet, which yielded some unexpected results. The variation in the penetration depth with the density of the solid particles at the same mass feed rate was opposite for the circular lance and the annular lance. In the case of the circular lance, the penetration depth became shallower as the density of the solid particles increased; on the contrary, for the annular lance, the penetration depth became deeper with the increasing density of particles. However, at the same volumetric feed rate of the particles, the density effect was small for the circular lance, but for the annular lance, the jets with higher density particles penetrated more deeply. The variation in the penetration depth with the particle diameter was also different for the circular and the annular lances. With the circular lance, the penetration depth became deeper as the particle size decreased for all the feed rates, but with the annular lance, the effect of the particle size was small. The overall results including the previous work indicated that the penetration behavior of an annular jet is much less sensitive to the variations in operating variables than that of a circular jet. Correlation equations for the penetration depth that show good agreements with the measured values have been developed.