Background Air pollution has aroused global concerns because of its adverse effects on individuals’ physical and psychological health and behavior. Although there has been substantial traditional consideration of the objective impact of air pollution, more knowledge is needed about perceived air quality (PAQ), its association with objective air pollution (OAP), and the relationship between OAP and PAQ with respect to pro-environmental behavior (PEB). Methods To delineate and investigate the effect of air pollution on both perceived and objective perspectives of PEB and its underlying psychological mechanisms, this study distributed a survey questionnaire related to PAQ, the Positive and Negative Affect Schedule (PANAS), satisfaction with local governmental control of air quality (SAT), and the PEB scale. The monitored data of objective city-level air pollution and 391 samples of survey data were included in this study. Results The results reveal that both PAQ and OAP increase individuals’ negative affect (NA) and decrease SAT, which sequentially restrains PEB. More importantly, PAQ, NA, and SAT played mediating roles in the relationship between OAP and PEB. Empirical testing for group difference also indicated that while there is no gender-related difference with respect to caring about SAT and PEB caused by air pollution, gender effects on NA were significantly different. Age-related differences exist among younger, medium, and older age groups with respect to NA, SAT, and PEB caused by air pollution, and there are also background differences with respect to NA, SAT, and PEB, although income does not generate a significant group difference effect on NA, SAT, and PEB. Conclusions The findings corroborate the important roles of affect and SAT in activating public concern about air quality. We discuss the possible ways that affect and SAT might enhance PEB as well as the limitations of this study. More pollutants and mechanisms could be considered in future studies.