As part of one of the five major national development strategies, the Yangtze River Economic Belt (YREB), including the three national-level urban agglomerations (the Cheng-Yu urban agglomeration (CY-UA), the Yangtze River Middle-Reach urban agglomeration (YRMR-UA), and the Yangtze River Delta urban agglomeration (YRD-UA)), plays an important role in China’s urban development and economic construction. However, the rapid economic growth of the past decades has caused frequent regional air pollution incidents, as indicated by high levels of fine particulate matter (PM2.5). Therefore, a driving force factor analysis based on the PM2.5 of the whole area would provide more information. This paper focuses on the three urban agglomerations in the YREB and uses exploratory data analysis and geostatistics methods to describe the spatiotemporal distribution patterns of air quality based on long-term PM2.5 series data from 2015 to 2018. First, the main driving factor of the spatial stratified heterogeneity of PM2.5 was determined through the Geodetector model, and then the influence mechanism of the factors with strong explanatory power was extrapolated using the Multiscale Geographically Weighted Regression (MGWR) models. The results showed that the number of enterprises, social public vehicles, total precipitation, wind speed, and green coverage in the built-up area had the most significant impacts on the distribution of PM2.5. The regression by MGWR was found to be more efficient than that by traditional Geographically Weighted Regression (GWR), further showing that the main factors varied significantly among the three urban agglomerations in affecting the special and temporal features.