Accurate PM2.5 concentration prediction is crucial for protecting public health and improving air quality. As a popular deep learning model, deep belief network (DBN) for PM2.5 concentration prediction has received increasing attention due to its effectiveness. However, the DBN structure parameters that have a significant impact on prediction accuracy and computation time are hard to be determined. To address this issue, a modified grey wolf optimization (MGWO) algorithm is proposed to optimize the DBN structure parameters containing number of hidden nodes, learning rate, and momentum coefficient. The methodology modifies the basic grey wolf optimization (GWO) algorithm using the nonlinear convergence and position update strategies, and then utilizes the training error of the DBN to calculate the fitness function of the MGWO algorithm. Through the multiple iterations, the optimal structure parameters are obtained, and a suitable predictor is finally generated. The proposed prediction model is validated on a real application case. Compared with the other prediction models, experimental results show that the proposed model has a simpler structure but higher prediction accuracy.