In recent years, air pollution has become an important public health concern. The high concentration of fine particulate matter with diameter less than 2.5 µm (PM2.5) is known to be associated with lung cancer, cardiovascular disease, respiratory disease, and metabolic disease. Predicting PM2.5 concentrations can help governments warn people at high risk, thus mitigating the complications. Although attempts have been made to predict PM2.5 concentrations, the factors influencing PM2.5 prediction have not been investigated. In this work, we study feature importance for PM2.5 prediction in Tehran’s urban area, implementing random forest, extreme gradient boosting, and deep learning machine learning (ML) approaches. We use 23 features, including satellite and meteorological data, ground-measured PM2.5, and geographical data, in the modeling. The best model performance obtained was R2 = 0.81 (R = 0.9), MAE = 9.93 µg/m3, and RMSE = 13.58 µg/m3 using the XGBoost approach, incorporating elimination of unimportant features. However, all three ML methods performed similarly and R2 varied from 0.63 to 0.67, when Aerosol Optical Depth (AOD) at 3 km resolution was included, and 0.77 to 0.81, when AOD at 3 km resolution was excluded. Contrary to the PM2.5 lag data, satellite-derived AODs did not improve model performance.