The rapid industrial development in the human society has brought about the air pollution, which seriously affects human health. PM2.5 concentration is one of the main factors causing the air pollution. To accurately predict PM2.5 microns, we propose a dendritic neuron model (DNM) trained by an improved state-of-matter heuristic algorithm (DSMS) based on STL-LOESS, namely DS-DNM. Firstly, DS-DNM adopts STL-LOESS for the data preprocessing to obtain three characteristic quantities from original data: seasonal, trend, and residual components. Then, DNM trained by DSMS predicts the residual values. Finally, three sets of feature quantities are summed to obtain the predicted values. In the performance test experiments, five real-world PM2.5 concentration data are used to test DS-DNM. On the other hand, four training algorithms and seven prediction models were selected for comparison to verify the rationality of the training algorithms and the accuracy of the prediction models, respectively. The experimental results show that DS-DNM has the more competitive performance in PM2.5 concentration prediction problem.