Zinc-containing dust can be found in ironmaking and steelmaking, and it is an important secondary resource of zinc. Zinc-containing dust from an electric furnace was used as a raw material to study the phase transformation behavior of the dust using a calcification roasting process and the zinc–iron separation behavior by using ammonia leaching. The zinc-bearing dust was mixed with CaO and roasted to transform the zinc ferrite into zinc oxide. The results showed that increasing the calcium oxide to dust ratio could promote the conversion of zinc ferrite to zinc oxide. When the calcium oxide ratio reached 60%, the peak of zinc ferrite in the calcined-roasted product in the zinc-containing dust basically disappeared. As the temperature increased, the zinc oxide grains increased but were still smaller than 10 µm. The calcined-roasted product was crushed and ground, and the zinc was leached by ammonia. A zinc–iron recovery rate of 86.12% was achieved by the ammonia leaching. The leachate could be used for zinc extraction by electrolysis. The leaching residue was mainly calcium ferrate, which could be used in sintering production. The proposed process may achieve on-site recovery of zinc-containing dust in steel-making plants.