Urban agglomerations have become a new trend in the development of urbanization and regionalization in the world today. The construction of urban agglomerations has brought rapid economic development as well as a series of ecological and environmental problems, especially the impact on urban air quality. How to understand and evaluate the impact of urban agglomeration construction on air quality is a key issue that requires attention. City cluster construction is equivalent to a "quasi-natural experiment". This study empirically examines the impact of urban agglomeration construction on air quality in southwest China by constructing a PSM–DID model. It is found that: (1) City cluster construction has significantly improved urban air quality in urban clusters with lagging and forward-looking effects on air quality. (2) In terms of influencing factors, the level of economic development considerably improves the air quality of urban cluster cities, the industrial structure severely deteriorates the air quality of these cities, and meteorological factors highly affect their air quality. Among them, average annual urban rainfall significantly reduces urban air pollutant concentrations in urban clusters, average annual temperature significantly increases urban air pollutant concentrations, and average annual wind speed can reduce urban air pollutant concentrations. (3) Urban agglomerations are spatially heterogeneous in their impact on air quality. In this context, the topographical conditions and the level of development of urban agglomerations have a non-negligible influence on pollutant concentrations. (4) The distribution pattern of air quality pollutant concentrations in each urban agglomeration is unstable, and there are large differences in these concentrations between different urban agglomerations.