Border air pollution is a critical issue in environmental governance. Based on the data of Chinese industrial enterprises from 2005 to 2014, this study takes China’s Joint Atmospheric Prevention and Control Policy (JAPCP) as a policy shock and uses the difference-in-differences (DID) method to explore the impact of inter-jurisdictional cooperation on border sulfur dioxide (SO2) pollution. Our results reveal four notable findings. (1) After implementing the JAPCP, SO2 emissions of enterprises located in JAPCP-covered border counties dropped by 23.6%, demonstrating the JAPCP’s success in border SO2 pollution control. (2)The JAPCP alleviates the border SO2 pollution caused by externalities, environmental administration decentralization, and political promotion incentives; however, it cannot fundamentally solve the SO2 pollution caused by political promotion incentives. (3) The JAPCP has the Porter effect of controlling pollution by driving enterprises’ innovation, and the emissions reduction effect of the JAPCP is not attributable to enterprises’ strategic emissions reduction practices. (4) The border governance effect of the JAPCP is more significant in areas with less fiscal pressure, such as the Beijing–Tianjin–Hebei region and non-key control areas. Our conclusions provide practical guidance for promoting inter-jurisdictional cooperation to govern boundary externalities.