Accurate and reliable forecasting of PM_2.5 and PM₁₀ concentrations is important to the public to reasonably avoid air pollution and for the governmental policy responses. However, the prediction of PM_2.5 and PM₁₀ concentrations has great uncertainty and instability because of the dynamics of atmospheric flows, making it difficult for a single model to efficiently extract the spatial-temporal dependences. This paper reports a robust forecasting system to achieve accurate multi-step ahead forecasting of PM_2.5 and PM₁₀ concentrations. First, correlation analysis is adopted to screen the spatial information on pollution and meteorology that may facilitate the prediction of concentrations in a target city. Then, a spatial-temporal attention mechanism is used to assign weights to original inputs from both space and time dimensions to enhance the essential information. Subsequently, the residual-based convolutional neural network with feature extraction capabilities is employed to model the refined inputs. Finally, five accuracy metrics and two additional statistical tests are applied to comprehensively assess the performance of the proposed forecasting system. In addition, experimental studies of three major cities in the Yangtze River Delta urban agglomeration region indicate that the forecasting system outperforms various prevalent baseline models in terms of accuracy and stability. Quantitatively, the proposed STA-ResCNN model reduces root mean square error by 5.595 %-15.247 % and 6.827 %-16.906 % for the average of 1-4 h ahead predictions in three major cities of PM_2.5 and PM₁₀, respectively, compared to baseline models. The applicability and generalization of the proposed forecasting system are further verified by the extended applications in the other 23 cities in the entire region. The results prove that the forecasting system is promising in the early warning, regional prevention, and control of air pollution.