The control of air void structures introduced by air-entraining agents (AEAs) has long been a crucial problem. However, the mechanism through which the air void structure is refined by the extrusion of the slurry and the cutting of the aggregate remains insufficiently studied. This study aims to investigate the screening effect of coarse aggregate on the air void structure. The gradations of coarse aggregates were controlled by the fractal dimension (D). For casting air-entrained concrete, multiple continuously graded aggregates with D of 2.1, 2.3, 2.5 and 2.7 as well as two single graded aggregates with D=1.8 and 3.0 were used. Various parameters such as air content, air void structure, freeze-thaw durability, chloride ion permeability and water absorption were measured. Various air void structure parameters were compared to macroscopic properties. To evaluate the screening effect of coarse aggregate, the bubble rising and splitting behavior when passing through a single simulated aggregate (SA) and SA layer were observed. The findings indicate that finer and continuously graded coarse aggregates lead to higher air content and promoted air bubble trapped rate, which suggests a stronger screening effect. This results in a smaller bubble spacing coefficient and stronger frost resistance.