Many consumers wonder whether they can use any brand of wood pellets in their pellet grill. The short answer is - yes. Large-scale manufacturers of barbecue wood pellets (like the brands you find at Home Depot, Lowes and Tractor Supply), use sawmill waste to make pellets, which can result in less smoke flavor when cooking. These lower-quality pellets work fine, but frequently lack that wood flavor we all want when smoking a pork shoulder for 10 hours. Mass-market wood pellet brands also frequently use cheap filler woods such as alder or gum tree, and then add artificial flavoring oils to enhance the scent of the pellets.
So, cheap pellets that you can purchase in any big-box store are generally of lower quality. That's why independently-owned barbecue supply shops (run by BBQ experts) carry brands that are generally not available in big box stores.
Manufacturers, such as Traeger, recently confirmed that it's ok to use any brand of food-grade pellets in your Traeger pellet grill.
More experienced pellet grill owners prefer to use BBQ pellets manufactured from green hardwood chips as raw material. These types of pellets are only manufactured by a few mills in the United States, because the cost of production is higher, which reduces profit for the manufacturer.