Atmospheric fine particles (PM2.5) have been found to be harmful to the environment and human health. Recently, remote sensing technology and machine learning models have been used to monitor PM2.5 concentrations. Partial dependence plots (PDP) were used to explore the meteorology mechanisms between predictor variables and PM2.5 concentration in the “black box” models. However, there are two key shortcomings in the original PDP. (1) it calculates the marginal effect of feature(s) on the predicted outcome of a machine learning model, therefore some local effects might be hidden. (2) it requires that the feature(s) for which the partial dependence is computed are not correlated with other features, otherwise the estimated feature effect has a great bias. In this study, the original PDP’s shortcomings were analyzed. Results show the contradictory correlation between the temperature and the PM2.5 concentration that can be given by the original PDP. Furthermore, the spatiotemporal heterogeneity of PM2.5-AOD relationship cannot be displayed well by the original PDP. The drawbacks of the original PDP make it unsuitable for exploring large-area feature effects. To resolve the above issue, multi-way PDP is recommended, which can characterize how the PM2.5 concentrations changed with the temporal and spatial variations of major meteorological factors in China.