Haze pollution has been a global problem plaguing people for nearly two centuries, especially in developing countries, where haze pollution is getting worse and has become the culprit that restricts global sustainable development. As the largest developing country in the world, China’s regional characteristics of haze pollution are increasingly prominent, and the coverage is expanding, which means that there is a strong spatial interaction of haze pollution. The real world is composed of asymmetric spatial relationships, and asymmetric spatial interactions are more consistent with the reality of haze pollution. To this end, this paper identifies the asymmetric spatial interaction effects of haze pollution by using the time series econometric analysis framework and then constructs asymmetric spatial weights. In this paper, the spatial panel Durbin model and spatial effect decomposition technique are used for the empirical investigation to provide new empirical evidence to reveal the socio-economic influences of haze pollution. The study finds that haze pollution in China has a significant asymmetric spatial interaction and the degree of influence varies among cities. During the sample period, there is a significant inverted U-shaped relationship between economic development and haze pollution. However, the vast majority of cities have not passed the top inflection point of the inverted U-curve and are still in the stage where haze pollution is gradually intensifying with economic growth. High population density, high energy consumption, and unreasonable energy consumption structure aggravate haze pollution, while fixed-asset investment and science and technology expenditure help to reduce haze pollution. However, only the spatial spillover effect of the energy consumption structure is significant. Therefore, the improvement and implementation of more effective socio-economic prevention and control policies in the case of asymmetric interaction is the key to effectively dealing with heavy pollution weather, fighting the defense of the blue sky, and achieving sustainable development.