The soft sensing of key performance indicators (KPIs) plays an essential role in the decision-making of complex industrial processes. Many researchers have developed data-driven soft sensors using cutting-edge machine learning (ML) or deep learning (DL) models. Moreover, feature selection is a crucial issue because a raw industrial dataset is usually high-dimensional, and not all features are conducive to the development of soft sensors. A perfect feature-selection method should not rely on hyperparameters and subsequent ML or DL models. Rather, it should be able to automatically select a subset of features for soft sensor modeling, in which each feature has a unique causal effect on industrial KPIs. Therefore, this study proposes a causal model-inspired automatic feature-selection method for the soft sensing of industrial KPIs. First, inspired by the post-nonlinear causal model, we integrate it with information theory to quantify the causal effect between each feature and the KPIs in the raw industrial dataset. After that, a novel feature-selection method is proposed to automatically select the feature with a non-zero causal effect to construct the subset of features. Finally, the constructed subset is used to develop soft sensors for the KPIs by means of an AdaBoost ensemble strategy. Experiments on two practical industrial applications confirm the effectiveness of the proposed method. In the future, this method can also be applied to other industrial processes to help develop more advanced data-driven soft sensors.