This study examines the health consequences of prenatal exposure to air pollution by combining child health data from an original survey with the Air Pollution Index (API) from official Chinese statistics. Our results show that exposure to air pollution in late trimester (four-week windows before delivery) is negatively associated with health outcomes in children in the short and long terms. One standard deviation increase in the API in the final 28 days before delivery decreased birth weight and length by 0.388 and 0.458, respectively, in z-scores and lowered the weight-for-age and height-for-age by 0.370 and 0.441, respectively, in z-scores at 13–15 years post-exposure. Although the timing of exposure and its consequences have been the subject of debate in existing literature, our results focus on four-week windows and demonstrate that exposure during the late pregnancy period may have adverse health effects on children. We conducted analyses that accounted for potential covariates and omitted variables, and our results remain robust and statistically significant. We also found gender heterogeneous effects that girls are more vulnerable to fetal air pollution exposure than boys. Our findings uncover fetal and child health risks regarding air pollution and reinforce the importance of policies for mitigating air pollution in developing countries.