Emissions of PM2.5 and trace gases from residential coal consumption for winter heating have caused severe air pollution in northern China. Clean coal briquettes can meet both demands of clean environment and residential heating. As a byproduct from the Bayer process, red mud has the potential to be used as briquettes additive, although its recycling procedure is challenging. In this study, red mud was used to replace the currently used calcium oxide as additive in coal briquetting. Twelve sets of combustion experiments were conducted for bituminous coal, anthracite coal and their briquettes, and each set of the experiment was repeated at least three times. Emission profiles of PM2.5, SO2 and NOx were recorded during experiments. The highest emission reduction rates for PM2.5, SO2 and NOx were achieved at red mud contents of 10%, 5% and 2.5%, respectively, for bituminous coal, and at 10%, 5% and 7.5%, respectively, for anthracite coal. The corresponding emission reduction rates were 37.5%, 25.8% and 61.9% for bituminous coal and 31.2%, 55.1% and 17.9% for anthracite coal. In addition, both SO2 and NOx emissions showed clear peaks during the initial-burning stage for the two kinds of coals, while SO2 emission for anthracite coal burning showed another peak during the char-burning stage. Benefit analysis was also conducted assuming all the currently used raw coals were replaced with clean coal briquettes in Shaanxi province. The overall reductions are 2270.46 (t) year−1 for PM2.5, 1538.00 (t) year−1 for SO2 and 2177.81 (t) year−1 for NOx in the province. Results presented in this study highlight that development of clean energy policies, such as replacing bituminous coal and anthracite coal with clean coal briquettes, will be effective to improve the regional air quality.