Chinese air pollution is obviously increasing, and the government makes efforts to strengthen air pollution treatment. Although adverse health effects gradually emerge, research determining individual vulnerability is limited. This study estimated the relationship between air pollution and obesity. Individual information of 13,414 respondents from 125 cities is used in the analysis. This study employs ordinary least squares (OLS) and multinomial logit model (m-logit) to estimate the impact of air pollution on obesity. We choose different air pollution and Body Mass Index (BMI) indicators for estimation. Empirical results show Air Quality Index (AQI) is significantly positively associated with the BMI score. As AQI adds one unit, the BMI score increases 0.031 (SE = 0.002; p < 0.001). The influence coefficients of particle size smaller than 2.5 μm (PM2.5), particle size smaller than 10 μm (PM10), carbon monoxide (CO), nitrogen dioxide (NO2), ozone (O3), and sulfur dioxide (SO2) to the BMI score are 0.034 (SE = 0.002; p < 0.001), 0.023 (SE = 0.001; p < 0.001), 0.52 (SE = 0.095; p < 0.001), 0.045 (SE = 0.004; p < 0.001), 0.021 (SE = 0.002; p < 0.001), 0.008 (SE = 0.003; p = 0.015), respectively. Generally, air pollution has an adverse effect on body weight. CO is the most influential pollutant, and female, middle-aged, and low-education populations are more severely affected. The results confirm that the adverse health effects of air pollution should be considered when making the air pollution policies. Findings also provide justification for health interventions, especially for people with obesity.