Ceramic foams with extensive interconnected pores have great application potential in high‐temperature particulate matter (PM) capture. Considering that there are still challenges to synthesize ceramic foams with efficient filtration, a novel hierarchical‐structured alumina foam with three‐dimensional (3D) reticular architecture has been fabricated via combining chemical grafting pore‐forming agent and polyurethane (PU) foaming technology. Carbon black is grafted with carbamate functional groups in order to enable a better dispersion in highly viscous PU. Submicrometer and micrometer‐sized pores on the cell walls are observed in hierarchical‐structured ceramic foams. The resulting alumina foam exhibits 95.2% removal efficiency for PM particles and low pressure drop of only 50 Pa when grafted carbon black content is 3 wt%. This filtration performance is much higher than that of existing ceramic materials. These features, combined with our experimental design strategy, provide a new insight to design high‐temperature PM filtration materials with durable high performance.