China is seeking to unlock its shale gas in order to curb its notorious urban air pollution, but robust assessment of the impact on PM2.5 pollution of replacing coal with natural gas for winter heating is lacking. Here, using a whole-city heating energy shift opportunity offered by substantial reductions in coal combustion during the heating periods in Urumqi, northwest China, we conducted a four-year study to reveal the impact of replacing coal with natural gas on the mass concentrations and chemical components of PM2.5. We found a significant decline in PM2.5, major soluble ions and metal elements in PM2.5 in January of 2013 and 2014 compared with the same periods in 2012 and 2011, reflecting the positive effects on air quality of using natural gas as a heating fuel throughout the city. This occurred following complete replacement with natural gas for heating energy in October 2012. The weather conditions during winter did not show any significant variation over the four years of the study. Our results indicate that China and other developing nations will benefit greatly from a change in energy source, that is, increasing the contribution of either natural gas or shale gas to total energy consumption with a concomitant reduction in coal consumption.