Urban plants are regarded as an effective agent to control particulate matter (PM) pollution by absorbing PM. Repeated PM and drought stress in urban areas often cause morphological and physiological damage to plants, resulting in lower ecological benefits. Nevertheless, knowledge in PM retention capability, morphology and physiology of plants under repeated stress and cross stress has been barely available. In order to investigate changes in these aspects under repeated stress, we applied periodic drought with severe exhaust exposure on Photinia × fraseri Dress (a common urban tree species with strong PM retention ability). The study was carried out in a six-period scenario, with a duration of 10 days for each period: initial value (R0), initial stress period (S1), initial recovery period (R1) second stress period (S2), second recovery period (R2) and final stress period (S3). The results are as follows: In terms of periodic factor, PM retention of tail gas stress group (P) and cross stress group (PD) in S2 decreased by 10.00 μg/cm2 and 12.60 μg/cm2 respectively compared with those during S1 (p > 0.05). During S3, the total amount of PM on leaf surface in both P and PD demonstrated a significant decrease (p < 0.05). The retention capacity of P. fraseri may be dramatically limited under multi-period stress. In this experiment, we attribute the decrease of PM retention to the morphological changes (shedding of mature leaves, smaller leaf area and thinner wax layer) and physiological responses (an increase in gas exchange) under multi-period stress. In terms of cross-stress factor, the total retained PM on leaf surface in PD was higher than that in P, especially during S3, and the interaction between drought and PM reached a significant level (p < 0.01, η2 = 0.808), which indicated that drought reduced the loss of dust under PM stress. Changes in morphology and gas exchange indicated that the mechanisms for the high dust retention rate on the leaf surface of PD group varied in the three stress periods. In addition, except the chlorophyll relative value, the alleviated accumulation of MDA and intense production of soluble sugar with PD showed favorable responses to disturbance compared with those in P under the repeated stress. Therefore, we infer that, under multi-period stress of drought and tail gas, P. fraseri may better maintain PM retention ability and resistance than under single stress.