The National Air Pollution Control Plan implemented by China in 2013 reduced the concentrations of air pollutants, especially PM2.5 (aerosol particles with an aerodynamic diameter equal to or less than 2.5 µm), between 2014 and 2017. This reduction in PM2.5 potentially affected the intensity of urban heat islands (UHIs), as the presence of fine particles can influence the energy balance of the earth-atmosphere system. In this study, the effect of the pollution control plan on the UHI intensity in the Yangtze River Delta, China, was investigated via observational analysis and numerical modeling. According to the observational data, the PM2.5 concentrations in the megacities of the Yangtze River Delta, viz., Shanghai, Nanjing, Hangzhou and Hefei, in 2017 were ~35 µg m–3, showing decreases of approximately 48.36%, 28.25%, 29.41% and 32.5%, respectively, compared to 2014. Furthermore, these reductions in the PM2.5 concentration correlated well with the strengthened diurnal intensity (increasing by up to 1 K) and the weakened nocturnal intensity (decreasing by up to 1 K) of the UHIs. Numerical simulations confirmed that this “seesaw effect” on the UHI intensity was due to the decrease in PM2.5 and the consequent increase in the downward surface shortwave radiation and the outgoing top-of-the-atmosphere longwave radiation. Thus, the Air Pollution Control Plan noticeably affected the UHI intensity by reducing PM2.5—a factor which should be considered in future studies on urban climate and environmental planning.