Feature selection provides the optimal subset of features for data mining models. However, current feature selection methods for high-dimensional data also require a better balance between feature subset quality and computational cost. In this paper, an efficient hybrid feature selection method (HFIA) based on artificial immune algorithm optimization is proposed to solve the feature selection problem of high-dimensional data. The algorithm combines filter algorithms and improves clone selection algorithms to explore the feature space of high-dimensional data. According to the target requirements of feature selection, combined with biological research results, this method introduces the lethal mutation mechanism and the Cauchy operator to improve the search performance of the algorithm. Moreover, the adaptive adjustment factor is introduced in the mutation and update phases of the algorithm. The effective combination of these mechanisms enables the algorithm to obtain a better search ability and lower computational costs. Experimental comparisons with 19 state-of-the-art feature selection methods are conducted on 25 high-dimensional benchmark datasets. The results show that the feature reduction rate for all datasets is above 99%, and the performance improvement for the classifier is between 5% and 48.33%. Compared with the five classical filtering feature selection methods, the computational cost of HFIA is lower than the two of them, and it is far better than these five algorithms in terms of the feature reduction rate and classification accuracy improvement. Compared with the 14 hybrid feature selection methods reported in the latest literature, the average winning rates in terms of classification accuracy, feature reduction rate, and computational cost are 85.83%, 88.33%, and 96.67%, respectively.