Feature selection (FS) is an important preprocessing technique for improving the quality of feature sets in many practical applications. Particle swarm optimization (PSO) has been widely used for FS due to being efficient and easy to implement. However, when dealing with high-dimensional data, most of the existing PSO-based FS approaches face the problems of falling into local optima and high-computational cost. Evolutionary multitasking is an effective paradigm to enhance global search capability and accelerate convergence by knowledge transfer among related tasks. Inspired by evolutionary multitasking, this article proposes a multitasking PSO approach for high-dimensional FS. The approach converts a high-dimensional FS task into several related low-dimensional FS tasks, then finds an optimal feature subset by knowledge transfer between these low-dimensional FS tasks. Specifically, a novel task generation strategy based on the importance of features is developed, which can generate highly related tasks from a dataset adaptively. In addition, a new knowledge transfer mechanism is presented, which can effectively implement positive knowledge transfer among related tasks. The results demonstrate that the proposed method can evolve a feature subset with higher classification accuracy in a shorter time than other state-of-the-art FS methods on high-dimensional classification.