With the increasing production of municipal sewage sludge (MSS) in China every year, the co-firing of MSS and pulverized coal is getting more and more widely applied in large coal-fired power plants. The co-firing of MSS and pulverized coal will produce a large amount of particulate matter (PM) emissions, especially submicron particles. In this paper, the formation characteristics of submicron particles in the co-firing process of coal and MSS were studied in a drop tube furnace. The influence of the furnace temperature and the addition ratio of sludge on the particle size distribution and element composition of submicron particles in MSS, pulverized coal combustion and co-firing was mainly studied. The experimental results show that the furnace temperature has an influence on the formation of PM0.4. For sludge combustion, increasing the furnace temperature will promote the formation of PM0.4. The main reason is that increasing the furnace temperature promotes the gasification of Si, S, Fe, and P to form the precursor of PM0.4 or PM0.4. At same furnace temperature, the volume concentration and mass concentration of PM0.4 produced from pulverized coal combustion are less than that of sludge. Different from sludge combustion, co-firing of pulverized coal and sludge has a synergistic effect on eliminating PM0.4 formation. Increasing the addition ratio of sludge can decrease the volume concentration and mass concentration of PM0.4. This is because that aluminosilicates formed during co-firing promotes the scavenge Si, Ca, Fe, thereby reducing the precursors of PM0.4 and the mass yield of PM0.4. Increasing the furnace temperature in co-firing can inhibit the formation of PM0.4. When the furnace temperature is between 1100 °C and 1300 °C, increasing the furnace temperature will reduce the Fe content and increase the content of Si, Ca, Na, K, and P in PM0.4. However, the reduction of Fe and the increase of Si, Ca, Na, K, and P in PM0.4 offset each other, resulting in an insensitive relationship between the mass yield of PM0.4 and the furnace temperature.