The thermal treatment of wood can improve the appearance of the wood product’s surface, its dimensional stability, and resistance to fungal attacks. However, the heat treatment changes the technological properties of wood, making it a new engineering material. This work investigates the effect of the low-thermal treatment of birch wood (Betula pendula Roth.), European beech wood (Fagus sylvatica L.), and alder wood (Alnus glutinosa L.) on the fine dust particles creation during woodworking. The samples of thermally treated wood with temperatures commonly used for the change of wood colour (105, 125, and 135 °C) were compared with reference samples made of natural wood. All 12 variants of the tested woods were milled using the 5-axis CNC machining center (20 mm diamond cutter, rotational speed 18,000 rev·min−1, the depth of cut 3 mm, feed rates of 2, 4 and 6 m∙min−1). A sieving analysis method allowed measuring the dust particle size distributions in all dust samples. The experiment’s result analysis points out that wood type, thermal treatment, and feed rate meaningfully affect the size distribution of dust particles. Compared to birch wood and beech wood, the milling of alder wood samples created a much higher content of the finest dust particles, with particle sizes smaller than 0.032 mm. Increased temperatures in thermal treatment increase the share of fine dust particles with sizes smaller than 0.125 mm, compared to wood in its natural state. Milling with a lower feed rate (2 m·min−1) creates finer dust than processing with higher feed rates (4 and 6 m·min−1). Generally, the milling of alder in a natural or thermally treated state is a source of fine dust particles, particularly at low feed speed-rate milling, compared to birch and beech wood. In general, these results indicate that the low temperature thermal treatment parameters attribute new technological properties to all thermally modified types of wood tested.