After thermal desorption, the total amount of heavy metals (HMs) is enriched in baghouse filter dust. To further understand the related environmental impact, the leaching characteristics under various conditions must be explored. Therefore, this study aimed to examine the leaching characteristics of seven HMs in the dust generated in the direct-fired thermal desorption process and to compare the differences in heavy metal leaching characteristics in the soil before and after thermal desorption. The leaching characteristics and bioaccessibility of seven HMs—arsenic (As), cadmium (Cd), chromium (Cr), copper (Cu), lead (Pb), nickel (Ni), and zinc (Zn)—were analyzed in dust and in soil before and after thermal desorption. The activity of HMs in dust was strong. Therefore, environmental effects and effects on human health should be considered in the treatment of soil and dust after thermal desorption.