Aerosols significantly contribute to global and regional climate change by altering the surface solar radiation, thereby affecting plant productivity. Central Asia is a primary source of global dust aerosols. However, the mechanisms of how aerosols affect terrestrial gross primary productivity (GPP), especially in Central Asia, are not clearly understood. In this study, we investigated the spatial variation in aerosol optical depth (AOD) and GPP and the relationship between them during the growing season (April–October) from 2001 to 2018 using remote sensing data from several sources. We created a GWR-SEM model consisting of a geographically weighted model (GWR) coupled with a structural equation model (SEM) to quantify and analyze the effects of AOD on GPP. The results show that AOD decreased slightly at a rate of −0.0002 y−1 during the study period and that there was a tendency towards spatial aggregation. The extent of AOD pollution in the northwest region (around the Aral Sea) was slightly greater than that in the southeast. GPP increased significantly at a rate of 7.2965 g C m−2 y−2, especially in the northern region. There were some differences in the effects of AOD on GPP between different vegetation types; the highest AOD–GPP correlation was found in shrublands and croplands. Analysis of the GWR-SEM model suggested that AOD and two forms of radiation (surface net radiation, SNR, and photosynthetically active radiation, PAR) explained 72.4% (63.4% for 2001, 66.8% for 2018) of the spatial variation in GPP. SNR had the greatest effect on GPP, followed by AOD. Diffuse PAR had the greatest indirect effect on GPP. The findings of this study highlight the importance of aerosol pollution on spatial variation in gross primary productivity, and they provide a methodological framework for investigating the relationship between AOD and GPP in arid areas.