Bed bugs, Cimex lectularius L., are one of the most difficult urban pests to control. Pest management professionals rely heavily on insecticide sprays and dusts to control bed bugs. Dust formulations are considered to provide longer residual control than sprays. However, there are no scientific data available on the comparative efficacy of the commonly used insecticide dusts. We evaluated the efficacy of eight insecticide dust products using three exposure methods: 1) brief exposure—bed bugs crossed a 2.54-cm-wide dust-treated band, 2) forced exposure—bed bugs were continuously exposed to a dust-treated substrate, and 3) choice exposure—bed bugs were given a choice to stay on either dust-treated or untreated substrate. The brief exposure method was the most sensitive in detecting the differences among the insecticides. Only CimeXa (silica gel) dust caused 100% mortality from all three exposure methods. Other tested dusts (1% cyfluthrin, 0.05% deltamethrin, 0.075% zeta-cypermethrin + 0.15% piperonyl butoxide, 1% pyrethrins, 1% 2-phenethyl propionate + 0.4% pyrethrin, 0.25% dinotefuran + 95% diatomaceous earth, 100% diatomaceous earth) caused ≤65% mortality in a brief exposure assay. We also evaluated the horizontal transfer effect of the silica gel dust. Silica gel dust-exposed bed bugs transferred the dust horizontally to unexposed bed bugs resulting in 100% mortality at 4:6 donor: recipient ratio and 88.0 ± 5.0% mortality at 1:5 donor: recipient ratio. The results suggest silica gel is the most promising insecticide dust for controlling C. lectularius.