The sources of potentially toxic elements (PTEs) in road dust are complex and potentially harmful to humans, especially in industrial cities. Jiayuguan is the largest steel-producing city in Northwest China, and this study was the first to conduct a related study on PTEs in road dust in this city, including the pollution characteristics, source apportionment, and health risk assessment of PTEs in road dust. The results showed that the highest concentration of PTEs in the local road dust samples were Mn, Ba, Zn, and Cr. The enrichment factor (EF) of Se was the highest, and it was “Very high enrichment” in areas other than the background area, indicating that the local Se was more affected by human activities. The geoaccumulation index (Igeo) of Se was also the highest, and the pollution level was 5 in all areas except the background area, indicating that the local Se was more polluted and related to coal combustion. The sources of PTEs in local road dust samples mainly included geogenic-industrial sources, coal combustion, traffic sources, and oil combustion. For the non-carcinogenic risk, the hazard index (HI) of each element of children was higher than that of adults, and the sum of the HI of each element was greater than 1, indicating that there was a non-carcinogenic risk under the combined influence of multiple elements, which was especially obvious in industrial areas. For the carcinogenic risk, the cancer risk (CR) of Cr at a certain point in the industrial area exceeded 10−4, which was a carcinogenic risk, and the Cr in this area may be related to the topsoil of the local abandoned chromate plant.