In this study, we investigated the occurrence of particulate matter (PM2.5)-bound polycyclic aromatic hydrocarbons (PAHs) in the atmosphere in Shihezi, China and estimated their incremental lifetime cancer risk (ILCR). In addition, the potential sources of PM2.5-bound PAHs were statistically estimated using principal component analysis and positive matrix factorization. The backward trajectory was employed to determine the potential source area using the HYSPLIT software. Concentrations of PM2.5 and 16 PM2.5-bound PAHs ranged from 4.32 μg/m3 to 114.67 μg/m3 and 6.26 ng/m3 to 114.79 ng/m3, respectively, with the highest PAH concentrations occurring in the winter. Three principal components were analyzed by PCA, namely a combination of coal combustion sources and vehicle emissions, fugitive dust, and industrial emissions. Five sources were analyzed by positive matrix factorization (PMF) including coal combustion, vehicle emissions, fugitive dust, industrial emissions, and natural gas emissions. Risk assessment analysis showed that source-specific lung cancer risk assessment was in the 10-6–10-5 range, which constitutes a cancer risk that exceeds the guideline safety value (10-6) according to the U.S. Environmental Protection Agency. It is necessary to take measures to reduce the concentration of PM2.5-bound PAHs in order to reduce human health hazards.