Over the past several years, Shenzhen’s air quality has significantly improved despite increased ground-level ozone (O3) and the challenges in reducing fine particulate matter (PM2.5). We investigated concentration trends, concurrent pollution features, and long-term exposure health risks to enhance our understanding of the characteristics of O3 and PM2.5 pollution. From 2016 to 2022, there was a decrease in PM2.5 levels, but an increase in O3. Additionally, the premature mortality attributed to long-term air pollution exposure decreased by 20.1%. High-O3-and-PM2.5 days were defined as those when the MDA8 O3 ≥ 160 μg m–3 and PM2.5 ≥ 35 μg m–3. Significantly higher levels of O3, PM2.5, nitrogen dioxide (NO2), OX (OX = O3 + NO2), and sulfur dioxide (SO2) were observed on high-O3-and-PM2.5 days. Vehicle emissions were identified as the primary anthropogenic sources of volatile organic compounds (VOCs), contributing the most to VOCs (58.4 ± 1.3%), O3 formation (45.3 ± 0.6%), and PM2.5 formation (46.6 ± 0.4%). Cities in Guangdong Province around Shenzhen were identified as major potential source regions of O3 and PM2.5 during high-O3-and-PM2.5 days. These findings will be valuable in developing simultaneous pollution control strategies for PM2.5 and O3 in Shenzhen.