The frequent occurrence of fog and haze weather in big cities of China has raised wide attention of the public to its main cause—fine particulate matters, namely, PM2.5. It has been a common concern of the public that how PM2.5 would affect people’s health. This review summarizes the latest epidemiological findings of the effect of PM2.5 on respiratory diseases. Epidemiological studies have shown that short-term exposure to relatively higher concentration of PM2.5 is positively associated with the increased risk of emergency department visits of patients with asthma, with the risk of hospital admissions for patients with chronic obstructive pulmonary disease (COPD) and pneumonia, and with daily mortality in patients with COPD. Long-term exposure of relatively higher concentration of PM2.5 is positively associated with the increased risk of lung cancer mortality and pneumonia mortality, and with the increased risk of lung adenocarcinoma incidence and asthma incidence. These results, most from western countries, suggest the urgent need to reduce PM2.5 concentration, as well as to conduct vigorous local epidemiological studies on PM2.5 in China.