The preheating and roasting performance of pellets made from different size fraction of pyrite cinder was investigated. The results show that, the finer the particle size of the pyrite cinder is, the lower the pellet preheating and roasting temperature is, and the energy consumption is also lower. When the particle size of pyrite cinder decreases from less than 75 μm (accounting for 69.47%) to less than 25 μm (accounting for 100%), the pellet preheating temperature drops from 1150 °C to 1050 °C and the roasting temperature decreases from 1320 °C to 1170 °C. However, when the particle size of pyrite cinder keeps reducing, the preheating and roasting performance of pellets decreases.