This study aimed to assess whether protective measures could reduce the health risks of air pollution in mice living in the chambers situated at a suburban site in Beijing. The living chambers of mice were divided into four groups: male mice with and without the high-efficiency particulate air (HEPA) filter (male group A and group B), as well as female mice with and without the HEPA filter (female group A and group B). The experiment was carried out from 1 December 2017 to 31 May 2018. Parameters of respiratory function during periods of clean air and air pollution were determined for all groups to evaluate the role of the indoor air filter (i.e., HEPA) in protection against respiratory health risks in mice. Significant differences in minute volumes were observed in male and female groups with versus without the HEPA. Additionally, respiratory health parameters including respiratory rate, duration of breaking, expiratory time, and relaxation time exhibited differences in female groups with HEPA versus without HEPA. Levels of inflammatory factors in the lungs were measured for all groups after 6months of exposure. Greater mean levels of IL-6 and TNF-α were found in the male groups without HEPA than in those with HEPA. Higher average concentrations of IL-6, T-AOC, SOD, GSH-Px, LDH, TNF-α, and TGF-β1 were found in the female group without HEPA than those without HEPA. Our study has proved the effective protection provided by indoor air filters (i.e., HEPA filters) in reducing respiratory health risks associated with PM2.5.