In this study, a two-step principal component analysis (TS-PCA) is proposed to handle the dynamic characteristics of chemical industrial processes in both steady state and unsteady state. Differently from the traditional dynamic PCA (DPCA) dealing with the static cross-correlation structure and dynamic auto-correlation structure in process data simultaneously, TS-PCA handles them in two steps: it first identifies the dynamic structure by using the least squares algorithm, and then monitors the innovation component by using PCA. The innovation component is time uncorrelated and independent of the initial state of the process. As a result, TS-PCA can monitor the process in both steady state and unsteady state, whereas all other reported dynamic approaches are limited to only processes in steady state. Even tested in steady state, TS-PCA still can achieve better performance than the existing dynamic approaches.