Both cold stress and ambient fine particle particulate matter (PM2.5) has been reported to aggravate and induce respiratory problems like asthma, but the mechanism involved in that has not been fully understood. Therefore, the present study is to explore the mechanism involved in the increased susceptibility and severity of asthma caused by cold stress and PM2.5 exposure. Urban PM2.5 of Shanghai was concentrated to simulate a PM2.5‐polluted environment with an average concentration of 400 μg/m3, where 1‐month young C57BL/6J mice were exposed for 2 months under cold stress (2°C). Co‐exposure of cold stress and PM2.5 in childhood of mice led to significant infiltration of inflammatory cells in the peribronchial region or airspaces and the thickening or fibrosis of alveolar septum, increased OVA‐specific IgE in serum and total cells, eosinophil cells, and the levels of inflammatory cytokines including IL‐4, IL‐8, IL‐1β, IL‐5, IL‐13, and IFN‐γ in bronchoalveolar lavage fluid (BALF) of asthma mice. Moreover, mice in co‐exposure group presented a significantly high cough feature, reduced catalase (CAT), glutathione (GSH), superoxide dismutase (SOD), and elevated malonaldehyde (MDA) elevated in BALF; increased ratio of Th2/Th1 and the markable inhibition of Th17 differentiation toward Treg cells in the adulthood of asthma mice. Cold stress and PM2.5 co‐exposure in childhood may promote the deterioration of asthma symptoms in adulthood of mice by increasing inflammatory cytokines, ROS formation, Th2/Th1 imbalance, and suppressing the differentiation of Th17 toward Treg cells, which will help to provide experimental references when making some therapeutic strategies in allergic diseases through focusing on some natural solutions.