Mechanical entrainment of nonmagnetic particles is a leading issue deteriorating selectivity in high-gradient magnetic separation (HGMS). Previous researchers studied the high selectivity of downstream capture realized by increasing fluid velocity (despite the rapid loss of recovery). To enhance selectivity and extend the application fields of HGMS, a deep insight into mechanical entrainment in more realistic conditions of HGMS was essential. In this paper, captured particles from upstream and downstream side of a matrix were separately collected and analyzed with a novel experimental setup. Results showed that selectivity of downstream deposit was better than that of upstream deposit in all cases considered. Nonmagnetic particles were primarily trapped in upstream deposit due to higher chance of collision. Increasing fluid velocity could enhance selectivity in HGMS, but massive fine weakly magnetic particles would be lost in tailings. Gravity may play an important role in mechanical entrainment. Weakening upstream capture and enhancing downstream capture under relatively lower fluid velocity was meaningful and three potential technical solutions to improve selectivity were put forward.