In this study, wheat straw pyrolysis was conducted in an entrained flow reactor at 900–1300 °C, and PM2.5 were sampled from the flue gas through a heated sampling system. Multi-phase PM2.5 including carbonaceous matter, potassium-containing particles, and ash particles, was separated and quantified using a thermogravimetric analyzer (TGA). The micro-morphologies and chemical compositions of these three phases were characterized by scanning electron microscopy (SEM), scanning transmission electron microscope (STEM), energy dispersive X-ray spectrometry (EDS), and X-ray diffraction (XRD). Results show that PM2.5 yields during biomass pyrolysis are in the range of 7–34 g/kg (dry-basis biomass) and increase with the increase of pyrolysis temperature. At low pyrolysis temperatures (900–1000 °C), the carbonaceous matter is dominated by char-carbon. When the pyrolysis temperature increase from 1000 °C to 1100 °C, the production of soot is greatly enhanced and soot becomes dominant in PM2.5, and the amorphous morphologies of soot are replaced by the concentric graphitic layers. With the further increasing in pyrolysis temperature, soot particles become more spherical and onion-like. Above 1100 °C, the KCl content in PM2.5 declines, which is because of the capture of KCl and the formation of low-melting potassium aluminosilicates in large char particles. At 1300 °C, the fragmentation of char particles is significantly strengthened, resulting in more ash in PM2.5.