Using an original public opinion survey, we study public attitudes and behaviors toward air pollution in Almaty, Kazakhstan. In the Health Belief Model (HBM) framework previously used to understand an individual's health decision-making, we evaluate citizens' awareness of the poor air quality, their perception of risk, and their willingness to devote time and resources to reduce their air pollution exposure. We find that although citizens are aware of the gravity and general harms of air pollution, they significantly underestimate their individual health risks, and, as a result, often engage in daily routines that exacerbate their exposure to pollution. We find that behaviors increasing the risk of pollution exposure are related to the underlying beliefs about personal health risks, self-efficacy, and material and economic limitations. This means that treating pollution as an individual health problem rather than social issue in public discourse may promote behaviors reducing exposure and improving personal and public health outcomes.