Urumqi, the administrative center of Xinjiang, suffers from severe atmospheric aerosol pollution; however, no study has comprehensively analyzed the local constituents and sources of fine particulate matter (PM2.5). Characteristics of PM2.5 in Urumqi in winter were observed after the energy switch from coal to natural gas. Enrichment factors, backward trajectories, the potential source contribution function (PSCF) model, and positive matrix factorization (PMF) were used to identify the source area and categories. The results showed that the mean concentration of PM2.5 was 197.40 μg m−3 and significantly decreased after the conversion from coal to natural gas. Although the concentration of NO3− increased, SO42− and Cl− decreased 42.54% and 32.93%, respectively. Water-soluble ions (WSIs) were mainly present as NH4HSO4, CaSO4, MgSO4, Ca(NO3)2, Mg(NO3)2, and KCl. Elements such as Pb, Cr, and As decreased compared with before the fuel switch. There was a strong correlation between organic carbon and element carbon, and the mean concentration of secondary organic carbon was 18.90 μg m−3. Pyr, Chr, BbF, BkF, IcdP, and BghiP were the most prevalent individual polycyclic aromatic hydrocarbons, and BaP exceeded health-based guidelines. Trajectory clustering and the PSCF method suggested that both inside and outside the city and the typical topography might be the main factors to form the heavy PM2.5 pollution in south Urumqi. PMF identified five primary sources: secondary formation, biomass and waste burning, vehicle emissions, crustal minerals, and industrial pollution and coal combustion.