The coordinated control of PM2.5 and O3 pollution has become a critical factor restricting the improvement of air quality in China. In this work, precursors and related influencing factors were utilized to establish PM2.5 and O3 estimation models in the North China Plain (NCP), the Yangzi River Delta (YRD), and the Pearl River Delta (PRD) using a multi-task-learning (MTL) model. The prediction accuracy of these three MTL models was high, with R2 values ranging from 0.69 to 0.83. Subsequently, these MTL models were used to quantitatively reveal the relative importance of each factor to PM2.5 and O3 collaborative pollution simultaneously. Precursors and meteorological factors were the two most critical influencing factors for PM2.5 and O3 pollution in three regions, with their relative importance values larger than 29.99% and 15.89%, respectively. Furthermore, these models were used to reveal the response of PM2.5 and O3 to each precursor in each region. In the NCP and the YRD, the two most important precursors of PM2.5 pollution are SO2 and HCHO, while the two most critical factors for O3 pollution are HCHO and NO2. Therefore, SO2 and VOC emissions reduction is the most important measure for PM2.5 pollution, while VOC and NO2 emission reduction is the most critical measure for O3 pollution in these two regions. In terms of the PRD, SO2 and NO2 are the most important precursors of PM2.5 pollution, while the most important precursors for O3 pollution are HCHO and SOX, respectively. Thus, NO2, SO2, and VOC emission reduction is the most critical measure for PM2.5 pollution, while VOC and NO2 emission reduction is the most critical measure for O3 pollution in the PRD. Overall, this study provides clues and references for the control of PM2.5 and O3 collaborative pollution in the NCP, the YRD, and the PRD.