Fine and ultra-fine sugarcane bagasse (SCB) fractions (≤200 μm) that are naturally generated during industrial grinding have been systematically overlooked in lignocellulosic pretreatment research. Previous studies have largely relied on commercially processed pulps or coarse particles (>200 μm), typically without systematic size fractionation. Here, we demonstrate that these fine fractions—including ultra-fines (≤45 μm), which are often excluded from analytical workflows due to concern about excessive degradation—are viable feedstocks for producing lignin-containing cellulose nanofibers (LCNF) via a sequential thermal hydrolysis treatment (THT)–deep eutectic solvent (DES) pretreatment specifically designed to retain lignin. Size-fractionated SCB (≤45, 45–100, and 100–200 μm) was subjected to THT (190 °C, 15 min), followed by DES treatment using choline chloride/urea (1:2 molar ratio, 130 °C, 2 h). Multi-technique characterization using Fourier transform infrared spectroscopy (FT-IR), thermogravimetric analysis (TGA), and X-ray diffraction (XRD) indicated substantial hemicellulose removal (>70%), effective lignin retention (7.6–9.1%), cellulose enrichment (74.0–77.5%), and preservation of cellulose I structure allomorph. The crystallinity index increased from 46.5–52.7% after THT to 56.7–57.2% after DES treatment, and notably, uniform compositional and structural features were obtained across all particle size classes after DES treatment. Subsequent high-pressure microfluidization (700 bar, five passes) yielded LCNF with consistent morphology across all fractions: uniform fibril diameters (24.6–26.2 nm), a discernible lignin coating, and excellent colloidal stability (zeta potential: −86.3 to −95.0 mV). Field emission scanning electron microscopy (FE-SEM) and transmission electron microscopy (TEM) confirmed well-dispersed nanofibrous networks. Collectively, these findings show that the full range of fine SCB fractions can be effectively valorized into high-performance LCNF through sequential THT–DES pretreatment, enabling comprehensive utilization of industrial grinding outputs and advancing circular bioeconomy objectives.