Heavy PM2.5 (particulate matter with aerodynamic diameter equal to or less than 2.5 μm) pollution and urban heat island (UHI) pose increasing threats to human health and living environment in populated cities. However, how PM2.5 pollution affects the UHI intensity (UHII) has not been fully understood. The impacts of PM2.5 on the wintertime UHII in the Beijing‐Tianjin‐Hebei megalopolis of China are explored during 2013–2017. The results show that the UHII at the time of daily maximum/minimum temperature (UHIImax/UHIImin) exhibits a decreasing/increasing tendency as PM2.5 concentration increases, causing a continuous decrease in the diurnal temperature range. These effects are mediated via aerosol‐radiation interaction (aerosol‐cloud interaction) under clear‐sky (cloudy) condition. The changes in PM2.5 concentration further cause different relative trends of UHIImax/UHIImin/diurnal temperature range across different cities in the Beijing‐Tianjin‐Hebei region, which are likely related to the differences in both the PM2.5 composition and city size. This study provides insights on how air pollution affects urban climate and would help to design effective mitigation strategies.