Air pollution caused by particulate matter <2.5 μm in diameter (PM2.5) imposes a severe health burden to people worldwide. Across the globe, and even within cities, the health burden of air pollution is not equally shared by citizens. Despite being the region suffering from the most severe air pollution, studies examining the inequity of the burdens of air pollution in Asia are limited. We aim to fill in this gap by analyzing the relationship between PM2.5 pollution and residents' socioeconomic characteristics in Beijing, the icon city for PM2.5 pollution. Our results show that household income and education were negatively correlated with ambient air quality (r = −0.62; p < 0.05 and r = −0.73; p < 0.01 respectively) in 2014. We found in Beijing air quality is worse where residents have less income and lower education rates and are less capable to protect themselves from the potential health risk. To counter the effects of air pollution in Beijing, air filtration has been shown to be an effective means to reduce, at least, indoor PM2.5 levels. We illustrate through a simple scenario analysis that air filtration can reduce exposure (26–79%) to a similar extent as the structural mitigation programs (e.g. closing coal factories) achieved in recent years (53%). We argue government intervention is needed to convey the benefit of air filtration to the socioeconomically disadvantaged groups.