Risk-related information regarding air pollution can help people understand the risk involved and take preventive measures to reduce health loss. However, the health benefits through these protective behaviors and the health threat of information inequality have not been systematically measured. This article reports the health gains and losses caused by the interaction of “air pollution—air pollution information—human”, and studies the heterogeneity and impact of this interaction. Based on field investigations and transfer learning algorism, this study compiled the first nationwide city-level risk-related information (ERI) response parameter set in China. Then, we developed a Information-Behavioral Equivalent PM2.5 Exposure Model (I-BEPEM) model to project the health benefits caused by the impact of environmental risk-related information on residents’ protective behaviors under different scenarios. The protective behavior led by air pollution risk information reduces 5.7% PM2.5-related premature deaths per year. With a 1% increase in regional ERI reception, PM2.5-related premature mortality decreases by 0.1% on average; If the level of information perception and behavioral protection in all cities is the same as that in Beijing, PM2.5-related premature deaths will decrease by 6.9% annually in China. Further, changing the air quality standard issued by China to the American standard can reduce the overall PM2.5-related premature deaths by 9.9%. Meanwhile, compared with men, other age groups and rural residents, women, older persons, and urban residents are more likely to conceive risk information and adopt protective behaviors to reduce the risk of premature death from air pollution. Air pollution risk information can significantly reduce people's health loss. Changing the real-time air quality monitoring information indicator standard to a more stringent level can quickly and effectively enhance this effect. However, the uneven distribution of this information in regions and populations has resulted in the inequality of health gains and losses.