As high-speed rail (HSR) proliferates, there is a growing interest in examining its impact on air quality. Previous studies have largely ignored its heterogeneous effects among air pollutants and across regions. Using longitudinal data from China, this study developed spatial difference-in-difference models to examine the relationships between HSR and air quality from a multi-pollutant and multi-scale perspective. We found that at the national level, the operation of HSR is associated with a better air quality, which mainly attributes to the spillover effects of HSR on the environment. However, at the regional level, the effect of HSR on air quality can be either positive or negative, depending on the socio-economic conditions of the regions. In particular, HSR has a negative effect on local air quality in Northeast China, but improves neighboring cities' air quality in Northeast and Central China. In Central China, HSR operation only has a significant negative effect on AQI of neighboring cities. In East and West China, HSR has negative correlations with AQI of both local and neighboring cities, but none of them is statistically significant. The impacts of HSR on different air pollutants also vary across regions. These findings suggest that region-specific policies are needed to address the impacts of HSR on air quality in different regions.