Highly efficient separation of benzene, toluene, and xylenes (BTXs) from pyrolysis gasoline is very important in petrochemical industries. Though the extractive distillation (ED) process is simpler and consumes less energy compared with liquid–liquid extraction process, it is difficult for a single solvent, for example, sulfolane, to achieve both high purity and high yield of BTXs. In this work, methylsulfonylethane (MSE) was chosen as a cosolvent to improve the selectivity of sulfolane after solvent screening, and factors that may affect the selectivity of the composite solvent were fully investigated, such as the content of cosolvent, solvent to feed ratio, the composition of the feed, and temperature. Furthermore, 240 h of continuous extractive distillation and solvent recovery experiment was carried out using sulfolane (85 wt%)–MES (15 wt%) mixture as solvent. The purity of mixed aromatics obtained was 99.83%, and the yield was as high as 99.7%.