Preheating combustion can effectively reduce NOx concentration, but the formation characteristics of PM0.4 in preheating combustion is unclear. In this study, the emission of PM0.4 in preheating combustion was reduced by optimizing the distribution of excess air coefficient. The mass-based particle size distribution (MPSD) of PM10, mass yield of PM0.4, elemental compositions and morphologies of PM, and the number-based particle size distribution (NPSD) were analyzed to discuss the effect of αp on PM formation. The results showed that in preheating combustion, with an increase of αp, the mass yield of PM0.4 first decreased and then increased. The mass yield of PM0.4 is minimum when αp is 0.6. Preheating combustion can simultaneously reduce PM0.4 mass yield and NOx concentration. The relationship between NOx concentration and αp is similar to the relationship between the mass yield of PM0.4 and αp. The MPSD of PM0.4 is multimodal and unimodal when αp is less than 1 and larger than 1, respectively. Particle volume concentration of PM0.4 indicates that the multimodal and unimodal of PM0.4 is a result of evolution of particles with different characteristics of gas-to-particle transformation. The effect of αp on the transformation of inorganic element from coal particles to PM0.4 is S > Fe ≈ Ca ≈ Mg > Na > Si. αp affects the mass yield of PM0.4 by affecting the combustion intensity of coal/char particles in preheating furnace and combustion furnace. When αp is 0.6, the combustion intensity of coal particles in preheating furnace and combustion furnace minimize the vaporization of inorganic elements.