China’s desert steppe is the transition zone between the grasslands in central China and the arid desert. Ecological security in this region has long been a subject of debate, both in the local and academic communities. Heavy metals and other pollutants are readily released during industrial production, combustion, and transportation, aggravating the vulnerability of the desert steppes. To understand the impact of industrial activiteis on the heavy metal content of dust fall in the desert steppe, a total of 37 dust fall samples were collected over 90 days. An inductively-coupled plasma mass spectrometer (NexION 350X) was used to measure the concentration of heavy metals Cu, Cd, Cr, Pb, Mn, Co, and Zn in the dust. Using comprehensive pollution index and multivariate statistical analysis methods, we explored the characteristics and sources of heavy metal pollution. We also quantitatively assessed the carcinogenic risks of heavy metals resulting from dust reduction with the help of health risk assessment models. The heavy metals’ comprehensive pollution index values in the study area’s dust fall were ranked as follows: Zn > Cd > Pb > Mn > Cu > Co > Cr. Among these, Zn, Cd, and Pb were significant pollution factors in the study area, and were affected by industrial production and transportation. The high pollution index was concentrated in the north of the research industrial park and on both sides of a highway. The seven heavy metals’ total non-carcinogenic risk index (HI) values were ranked as follows: Mn > Co > Pb > Zn > Cr > Cu > Cd (only the HI of Mn was greater than one). Excluding Mn, the non-carcinogenic and carcinogenic risk index values of the other six heavy metals were within acceptable ranges. Previous studies have also shown that industrial transportation and production have had a significant impact on the heavy metal content of dust fall in the desert steppe.