Dual-fuel premixed charge compression ignition (DF-PCCI) combustion has been proven to be a viable alternative to conventional diesel combustion in heavy-duty compression ignition engines due to its low nitrogen oxides (NO_x) and particulate matter (PM) emissions. When natural gas (NG) is applied to a DF-PCCI engine, its low reactivity reduces the maximum pressure rise rate under high loads. However, the NG–diesel DF-PCCI engine suffers from low combustion efficiency under low loads. In this study, an injection strategy of fuel supply (NG and diesel) in a DF-PCCI engine was investigated in order to reduce both the fuel consumption and hydrocarbon (HC) and carbon monoxide (CO) emissions under low load conditions. A variation in the NG substitution and diesel start of energizing (SOE) was found to effectively control the formation of the fuel–air mixture. A double injection strategy of diesel was implemented to adjust the local reactivity of the mixture. Retardation of the diesel pilot SOE and a low fraction of the diesel pilot injection quantity were favorable for reducing the combustion loss. The introduction of exhaust gas recirculation (EGR) improved the fuel economy and reduced the NO_x and PM emissions below Euro VI regulations by retarding the combustion phasing. The combination of an NG substitution of 40%, the double injection strategy of diesel, and a moderate EGR rate effectively improved the combustion efficiency and indicated efficiency, and reduced the HC and CO emissions under low load conditions.