Sicarius and Homalonychus are unrelated, desert-dwelling spiders that independently evolved the ability to cover themselves in fine sand particles, making them cryptic against their background. Observations that particles associate with these spiders' setae inspired us to investigate the role of setal microstructure in particle capture and retention. Here we report that Sicarius and Homalonychus convergently evolved numerous high aspect ratio, flexible fibres that we call 'hairlettes' protruding from the setal shaft. We demonstrate that particles attach more densely to regions of Homalonychus with hairlettes than to other regions of the same animal where hairlettes are absent, and document close contact of hairlettes to sand particles that persists after applying force. Mathematical models further suggest that adhesion of hairlettes to sand particles is a sufficient mechanism of particle capture and retention. Together, these data provide the first evidence that hairlettes facilitate sand retention through intermolecular adhesion to particles. Their independent evolutionary origins in Sicarius and Homalonychus suggest that the unique setal structure is adaptive and represents a general biomechanical mechanism for sand capture to cuticle. This discovery has implications for the design of inventions inspired by this system, from camouflage to the management of granular systems.