Compressed natural gas (CNG) main stations are critical components of the urban energy infrastructure for CNG distribution. Due to its high electrification and significant power consumption, researching the economic operation of the CNG main station in demand response (DR)-based electricity pricing environments is crucial. In this paper, the dehydration process is considered in the CNG main station energy consumption model to enhance its participation in DR. A bilevel economic dispatch model for the CNG main station is proposed, considering critical peak pricing. The upper-level and lower-level models represent the energy cost minimization problems of the pre-system and rear-system, respectively, with safety operation constraints. The bilevel programming model is solved using a genetic algorithm combined with a bilevel programming method, which has better efficiency and convergence. The proposed optimization scheme has better control performance and stability, reduces the daily electricity cost by approximately 21.04%, and decreases the compressor switching frequency by 50.00% without changing the CNG filling demand, thus significantly extending the compressor’s service life. Moreover, the average comprehensive power cost of processing one unit of CNG reduces 20.62%.