Particle size effects significantly impact the concentration and toxicity of heavy metals (HMs) in dust. Nevertheless, the differences in concentrations, sources, and risks of HMs in dust with different particle sizes are unclear. Therefore, guided by the definition of atmospheric particulate matter, dust samples with particle sizes under 1000 μm (DT1000), 100 μm (DT100), and 63 μm (DT63) from Beijing kindergartens were collected. The concentrations of HMs (e.g., Cd, Pb, Zn, Ni, Cr, Ba, Cu, V, Mn, Co, and Ti) in dust samples with different particle sizes were measured. Besides, the differences in HM concentrations, contamination levels, sources, and source-oriented health risks in dust samples of different particle sizes were systematically explored. The results show that the concentrations of Mn, V, Zn, and Cd gradually increase with decreasing dust particle sizes, the concentrations of Ba and Pb show a decreasing trend, and the concentrations of Cr, Cu, Ni, and Co display an increasing and then decreasing trend. The degree of contamination of HMs in dust of different particle sizes varies, with Cd being the most dominant contaminant. Compared with DT1000 and DT63, DT100 is the most polluted. In addition, the sources of HMs in DT1000, DT100, and DT63 become more single with decreasing particle size, which may be mainly due to the particle-size effect inducing the redistribution of HMs in different sources. Notably, the potential health risk is higher in DT100 than in DT1000 and DT63. The highest contribution of industrial sources to the health risk is found in DT100, which is mainly caused by highly toxic chromium (Cr). This work emphasizes the importance of considering particle size in risk assessment and pollution control, which can provide a theoretical basis for precise management of HMs pollution in dust.