Urban vegetation plays an important role in filtering atmospheric pollution. Understanding the functional traits of the plants that have strong capacity to retain fine particulate matter (PM2.5) is important to design configuration schemes for urban green spaces. In this study, phenological observations, direct sampling, and electron microscope analysis of leaf surfaces were conducted to analyze and compare the 65 plant species commonly grown in green spaces in Beijing in terms of their ability to retain particulates from the air. Analyses of the size distribution of particles revealed that >94% of the particles retained on leaf surfaces were smaller than 10 μm (PM10), and the majority of these (>87%) were smaller than 2.5 μm (PM2.5). Coarse particles accounted for <6% of all retained particles. The average volume percentage of PM10 was 93.8%, that of PM2.5 was 35.8%, and that of coarse particulates (Dp > 10 μm) was 17.8%. The PM2.5 retention amount per unit leaf area differed greatly among tree and shrub species. This number was 38.8 times higher for Acer truncatum (0.659 g·m−2) than for Salix matsudana (0.017 g·m−2), and 33.4 times higher for Buxus sinica (1.168 g·m−2) than for Sabina vulgaris (0.035 g·m−2). The trees with the strongest capacity to retain PM2.5 on a whole-plant basis were ranked as A. truncatum (115.639 g·week−1), Robinia pseudoacacia (48.876 g·week−1), Platanus acerifolia (43.413 g·week−1), Celtis bungeana (37.383 g·week−1), Sophora japonica (31.998 g·week−1), Diospyros kaki (29.945 g·week−1), and Ginkgo biloba (27.613 g·week−1), while the tree species with the strongest PM2.5 retention capability per year were A. truncatum (3245.170 g·year−1), R. pseudoacacia (1744.198 g·year−1), C. bungeana (1199.707 g·year−1), S. japonica (1108.382 g·year−1), Sabina chinensis (895.712 g·year−1) and G. biloba (865.733 g·year−1). The shrubs with the strongest ability to retain PM2.5 on a whole-plant basis were ranked as Prunus cistena (3.921 g·week−1), Syringa oblata Lindl. var. alba Rehder (3.767 g·week−1), Lespedeza bicolor (2.642 g·week−1), Hibiscus syriacus (2.255 g·week−1), Paeonia suffruticosa (1.969 g·week−1), and Amygdalus triloba (1.831 g·week−1), while the shrub species with the strongest ability PM2.5 retention capability per year were P. cistena (113.933 g·year−1), S. oblata Lindl. var. alba Rehder (98.736 g·year−1), L. bicolor (70.457 g·year−1), and H. syriacus (60.645 g·year−1). The results of this study will be useful for designing planting schemes for green spaces in urban areas to optimize the retention of particulates from the air.