H2O2- and PDS-based reactions are two typical advanced oxidation processes (AOPs). In this paper, a comparative study of H2O2/PDS-based AOPs employing natural pyrite as a catalyst to degrade methylene blue (MB) was reported. The adaptive pH range in pyrite/PDS extended from 3 to 11, in contrast to the narrow effective pH range of 3–7 in pyrite/H2O2. As a result of the iron leaching, a synergistic effect of both homogeneous and heterogeneous catalysis was observed in pyrite/PDS, whereas heterogeneous catalytic oxidation dominated pyrite/H2O2. Furthermore, the batch results showed that the MB removal by pyrite/PDS was highly dependent on chemical conditions (e.g., pH, pyrite and PDS concentration, temperature). Powerful SO4•− was generated by pyrite rapidly under acidic or weakly acidic conditions, while SO4•− and PDS were assumed by OH− under alkaline condition. The lower pyrite loading (from 0.1 to 0.5 g/L) was affected the removal efficiency obviously, while the scavenging of SO4•− did not seem to be remarkable with the excessive amounts of pyrite (>0.5 g/L). Excessive amounts of PDS (>2 mmol/L) might negatively affect the pyrite/PDS system. The reaction temperature that increased from 20 to 40 °C had a positive effect on the degradation of MB. SEM and XRD showed that the passivation of catalyst did not occur due to the strong acid-production ability of pyrite/PDS, inhibiting the formation of Fe-oxide covering the pyrite surface.