Why does the bag of bird food I bought have so much powder/dust in it?

What kind did you buy?  Mine have never had much.  Try Zupreem Natural Pellets, Volkman Seed & Nutri-berries.

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Either you have moths in the food or when the bag was filled it was the end of the batch and you got the bottom dust.

It's old, been sitting in a warehouse too long.  The hard husk outside on the seeds have been grinding against each other, thus the powder. 

Old stock?                          .

Many seeds have a natural powder like coating, when processed and mixed with tons of other seeds, the powder will tend to settle and some bags and boxes of feed will get more of this powder than others. You can always return that particular bag and ask for another or a different brand. Or just sift the feed and remove the excess powder.

If the food in question is a mix of seeds and pellets, the pellets may just be breaking down, due to mixing and handling. If the bags are transparent, sort through them before buying, and pick those with less crumbs/powder. Or again, pick a different brand.