Currently, China’s urbanization has entered a stage of high-quality development, and rapid urban growth has led to a series of environmental pollution issues, with haze pollution caused by delicate particulate matter (PM2.5) increasingly becoming a focal point for scholars. This paper focuses on Xi’an, Wuhan, Taiyuan, and Lanzhou, exploring the relationship between PM2.5 concentrations using methods such as the Pearson correlation coefficient (PCC), dominance analysis (DA), and ordinary least squares regression (OLSR). The results indicate that (1) Xi’an’s built environment is distributed radially, Wuhan is circular, Taiyuan is grid-like, and Lanzhou is strip-shaped; (2) Xi’an, Wuhan, Taiyuan, and Lanzhou exhibited different development patterns between 2014 and 2022, with Xi’an experiencing rapid urban expansion but lagging infrastructure, while Wuhan focused on improving post-urbanization quality. Taiyuan and Lanzhou advanced expansion and infrastructure construction simultaneously. (3) The regression coefficients of PM2.5 concentration concerning factors such as building density, green space density, road density, and water density in Xi’an are relatively high. In contrast, the regression coefficients of urban spatial structure factors in Wuhan, Taiyuan, and Lanzhou show consistency. This study provides a basis for reducing PM2.5 and explores the interaction and contribution relationship between urban spatial structure and PM2.5, offering a new research perspective for promoting urban sustainable development.