PM2.5 plays a significant role in urban climate, especially as urban development accelerates. In this study, surface PM2.5, skin temperature, surface air temperature, net longwave radiation, net shortwave radiation, sensible heat flux, and latent heat flux were directly analyzed in Nanchang from 2020 to 2022. The results indicate that PM2.5 in Nanchang is highest during winter and lowest in summer. On an annual scale, surface PM2.5 reduces skin and surface air temperatures at a rate of 0.75 °C/(μg m−3) by decreasing net solar radiation and increasing net longwave radiation at night. Conversely, it increases air temperature by absorbing radiation, leading to a surface inversion. Furthermore, surface PM2.5 influences surface air and skin temperatures by modulating the latent heat fluxes.