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Atmospheric PM2.5 pollution has become a prominent environmental problem in China, posing considerable threat to sustainable development. The primary driver of PM2.5 pollution in China is urbanization, and its relationship with PM2.5 concentration has attracted considerable recent academic interest. However, the spatial heterogeneity of the effect of urbanization on PM2.5 concentration has not been fully explored. This study sought to fill this knowledge gap by focusing on the Beijing–Tianjin–Hebei (BTH) urban agglomeration. Urbanization was decomposed into economic urbanization, population urbanization, and land urbanization, and four corresponding indicators were selected. A geographically weighted regression model revealed that the impact of multidimensional urbanization on PM2.5 concentration varies significantly. Economically, urbanization is correlated positively and negatively with PM2.5 concentration in northern and southern areas, respectively. Population size showed a positive correlation with PM2.5 concentration in northwestern and northeastern areas. A negative correlation was found between urban land size and PM2.5 concentration from central to southern regions. Urban compactness is the dominant influencing factor that is correlated positively with PM2.5 concentration in a major part of the BTH urban agglomeration. On the basis of these findings, BTH counties were categorized with regard to local policy recommendations intended to reduce PM2.5 concentrations.