PM2.5 pollution has become one of the most serious air pollution in China. The cross-correlations between PM2.5 concentration and meteorological factors (i.e., temperature, air pressure, relative humidity and wind speed) in Beijing and Hong Kong are discussed in this paper. We use the multifractal detrended cross-correlation analysis (MF-DCCA) to analyze the cross-correlations, and study further the asymmetric characteristics of cross-correlations by multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA). The experimental results show that the cross-correlations between PM2.5 concentration and four meteorological factors are multifractal and anti-persistent, and the strength of multifractality of Beijing is stronger than that of Hong Kong. Meanwhile, the cross-correlations between PM2.5 concentration and meteorological factors are asymmetric, and the asymmetric cross-correlations are multifractal. •The cross-correlations between PM2.5 and meteorological factors are discussed by MF-DCCA and MF-ADCCA.•The cross-correlations are significant and display the property of anti-persistent.•The cross-correlations are asymmetric, and the asymmetric cross-correlations are multifractal.•The cross-correlations are useful for detecting relations in environmental system.