Based on the PM2.5 concentration data of 253 prefecture-level cities, it empirically investigated the effect of urban density on PM2.5 concentration in China using spatial econometric regression method. The results show that there is a spatial spillover effect of PM2.5 concentration in China. The coefficient of urban density is significantly negative, and the increase in urban density will reduce haze pollution. In order to reduce haze pollution in Chinese cities, it is necessary to continue to implement regional joint prevention and control measures. The eastern region should focus on building small blocks and high-density networks to reduce haze pollution. The central region should focus on urban greening, increase green coverage, and reduce the heat island effect. While improving the level of greening in the western region, we should increase urban density, reduce urban sprawl, and build compact cities.