Gas bearings, which have the advantages of low frictional resistance and power loss, high rotational speed and high temperature operation, and long life, are more suitable than are traditional liquid lubricated bearings because of their high precision, high rotational speed, and special condition support. However, the problem of starting a closed-cycle compression system with gas bearings still needs to be solved for practical application. Thus, a new start-up method for a closed-cycle compression system with aerostatic gas bearings is proposed in this paper. Further, this paper presents a numerical simulation and experimental investigation of the method’s feasibility and characteristics during the start-up process when the gas tank’s initial pressure is fixed. The results show that the gas tank volume is approximately directly proportional to the start-up time allowable, and a gas tank volume sufficiently small, which not only ensures the feasibility of start-up, but also affects other components only slightly, can be obtained. A perfect combination of radial and axial loads also can be achieved to make the start-up time allowable as long as possible. R134a is a better choice for the working medium than is air, as the start-up time allowable is longer, which leads to a smaller gas tank. This research proposes a new start-up method for a closed-cycle compression system with aerostatic gas bearings which has sufficient load capacity to support system during the start-up method.