In response to the coronavirus disease 2019 pandemic, the Chinese government implemented blockade measures in Hubei, which largely affected the emission of pollutants. This work is aimed to explore the effects of epidemics on pollutants at different temperatures in Hubei, China. We applied for a panel nonlinear model with autonomous search thresholds to explore this, using daily average temperature as a threshold variable, and PM2.5 set as the explained variable, and the cumulative number of confirmed coronavirus disease 2019 cases set as the explanatory variable. An empirical analysis was conducted by running the proposed model and using nine cities in China most impacted by the pandemic. The results show that there was a non-linear negative relationship between the cumulative number of confirmed coronavirus disease 2019 cases and PM2.5. A more detailed non-linear relationship between the two was uncovered by the proposed panel threshold regression model. When the temperature crosses the threshold value (12.5 °C and 20.5 °C) in sequence, the estimated value was −0.0688, −0.0934, and −0.1520 in that order. This means that this negative non-linear relationship increased with increasing temperature. This work helps to explore the effect of coronavirus disease 2019 on pollutions at different temperatures and provides a methodological reference to study their nonlinear relationship.