Abstract The change of PM2.5 concentration in air quality is nonlinear and difficult to predict. Therefore, a self-learning interval type-2 fuzzy neural network (SLIT2FNN) is proposed. SLIT2FNN has two parts: online structure learning and parameter learning. In structure learning, to improve the training accuracy and speed of the model, the Possibilistic Fuzzy C-Means (PFCM) algorithm is used to process the input data and obtain the number of initial rules before model training. The PFCM algorithm introduces the concept of possibility P to Fuzzy C-Means (FCM), allowing PFCM to overcome the shortcomings of FCM that cannot accurately cluster a large number of nonlinear problems. SLIT2FNN can establish an appropriate number of rules in the preparation stage, and then use the firing strength of the antecedents of the rules to judge whether to generate fuzzy rules for online self-learning, thereby optimizing its network structure. Then, the improved Levenberg–Marquardt (ILM) algorithm is used to modify the relevant parameters of SLIT2FNN. The ILM algorithm can address the challenge of numerous parameters in the Jacobian matrix and complex calculations and improve the calculation speed and adaptive ability of SLIT2FNN parameter learning. Finally, SLIT2FNN is applied to the prediction of air quality PM2.5 concentration, and the performance is compared with other models. The experiment proves that SLIT2FNN has a high prediction accuracy and fast convergence.