Air pollutants, primarily PM2.5, have inflicted significant harm on public health and sustainable urban development in the Yangtze River Economic Belt (YREB). Previous studies often neglected the coordinated measurement of PM2.5 human and natural factors in this area. Therefore, this paper focuses on the YREB. Using a geographic information system (GIS) platform, along with remote sensing and statistical data spanning from 2000 to 2020, this study employs spatial analysis to uncover the spatial-temporal characteristics of PM2.5 and its spatial agglomeration patterns. Furthermore, this study further employs the spatial panel Durbin model to investigate the natural and anthropogenic factors driving PM2.5 concentrations across multiple scales. The analysis of the results reveals an “M”-shaped change trend in PM2.5 concentrations within the YREB. PM2.5 concentrations exhibit significant spatial agglomeration characteristics, whereby most urban agglomerations are high-pollution areas. Moreover, the changes in PM2.5 concentrations are jointly influenced by several factors, including the secondary industry, urban built-up area, population density, annual precipitation, and NDVI. Furthermore, the dominant factors influencing PM2.5 concentrations in the three major urban agglomerations exhibit both similarities and differences. In addition, for effective governance coordination across regions, policymakers should diligently consider both the shared predominant factors and the varying factors specific to each region in the future. This study expands the research content of watershed PM2.5 collaborative governance, and further provides practical support for other watershed environmental governance and urban sustainable management.