Particulate matter (PM) was collected in three different areas, SY-1, SY-2, and SY-3, in Shenyang, China, during the warm and cold seasons from 2012 to 2014. SY-1 was located beside a thermal power plant, far from the central area. SY-2 was near a coal heating boiler on the main road, close to the central area. SY-3 was on the main road, without fixed emission sources. Nine PM-bound polycyclic aromatic hydrocarbons (PAHs) were analyzed. The results showed that the mean concentration of total PAHs was higher in the cold season (92.6–316 ng m−3) than in the warm season (18.4–32.2 ng m−3). Five- and six-ring PAHs occupied a large percentage at all sites in the warm season, and four-ring PAHs were the dominant components in the cold season. Several diagnostic PAH ratios indicated that the main sources of PAHs in Shenyang in the warm and cold seasons were not only coal burning but also vehicle emission. In this study, we suggest that a benzo[a]pyrene/benzo[ghi]perylene ratio ([BaP]/[BgPe]) of 0.6 was a useful indicator to speculate the relative significance of coal burning and vehicle exhaust. Although the Shenyang government has undertaken actions to address air pollution, the PM and PAH concentrations did not decrease significantly compared to those in our previous studies. The cancer risk calculated from the BaP equivalent total concentration at all three sites in the warm and cold seasons exceeded the acceptable limit established by the US EPA.