High emissions of particulate pollutants in a regional scale adversely affect global air quality, health welfare and climate change. The Fen-Wei Plain (FWP) of China is among the most polluted regions of China and worldwide due to its thriving coal and coking industry. However, the joint regional observations are scarce in the FWP of China. In this study, comprehensive measurements were performed in 11 FWP cities from November 15, 2019, to March 15, 2020 (the heating period). The results showed that the FWP experienced the severest PM2.5 (particulate matter with an aerodynamic diameter of 2.5 μm or less) pollution with an average concentration of 95.0 ± 52.4 μg/m3 despite the Chinese government's rolling out of a three-year action plan for clean air. Benefitted from desulfurization technologies, organic matter (OM) and nitrate became the most dominant contributors, accounting for averages of 28.3% and 22.2% of PM2.5, respectively. In addition to chemical conversion, as determined by the potential source contribution function analysis, atmospheric circulation within the FWP resulted in high concentrations of OM and NO3−. The major water-soluble ionic concentrations in PM2.5 were found in the order NO3− > SO42− > NH4+ > Cl− in the FWP. The observed elements accounted in total for 3.4% of the PM2.5 mass. For the spatial distribution of PM2.5-associated chemical species, OM ranged from 17.9 to 40.3 μg/m3, with the highest OM observed in Yuncheng. The proportions of NO3−/PM2.5 in the cities of Henan and Shaanxi Provinces were higher than those in Shanxi Province. Five or six kinds of PM2.5 sources were identified in the 11 FWP cities during the heating period including secondary sulfate and nitrate, vehicular exhaust, biomass burning and coal combustion or their mixing sources, industry and dust. The contribution of the secondary sulfate and nitrate comprised the largest source of PM2.5 (approximately 25.5%), while that of dust was the lowest (6.7%) in the FWP. The lifetime cancer risks in the 11 cities of the FWP from exposure to ambient PM2.5-bound elements ranged from 1.2 E−4 to 8.7 E−4, which were higher than the United States Environmental Protection Agency (U.S. EPA) acceptable level of 1 E−4; while the hazard quotients from exposure to ambient PM2.5-bound elements was more than 18, much higher than the U.S. EPA acceptable level of 1. This study provides insights on the heavy particulate pollution problem in highly polluted regions of China and up-to-date dataset to study climatic effect and health risk assessment caused by high PM loading.