According to the requirements of the Healthy China Program, reasonable assessment of residents’ health risks and economic loss caused by urban air pollution is of great significance for environmental health policy planning. Based on the data of PM2.5 concentration, population density, and urbanization level of 338 Chinese cities in the year of 2015, the epidemiological relative risk (RR) was adopted to estimate the negative health effects caused by exposure to PM2.5. Meanwhile, the Value of Statistical Life (VSL) and Cost of Illness (COI) methods were used to calculate economic loss. The results show that PM2.5 pollution remains serious in 2015, which brings about many people suffering from all kinds of fearful health problems especially premature death and related diseases. The mortality and morbidity increase dramatically, and the total direct economic loss related to PM2.5 pollution in 2015 was 1.846 trillion yuan, accounting for 2.73% of total annual GDP. In addition, there was a strong correlation between urbanization level and health risks as well as economic loss, which implies that people who live in highly urbanized cities may face more severe health and economic losses. Furthermore, 338 cities were divided into four categories based on urbanization level and economic loss, of which the key areas (type D) were the regions where an increase in monitoring and governance is most needed. In the process of urbanization, policy makers should pay more attention to health costs and regional differentiated management, as well as promote the construction of healthy cities more widely.