In this paper, we examine whether outdoor air pollution has a causal effect on body weight. To address the potential endogeneity, we exploit exogenous variation in PM2.5 concentrations generated by China’s coal-fired winter heating policy, using regression discontinuity designs to estimate the impact of winter heating on air pollution and body weight in adults. We find that high outdoor air pollution exposure increases body mass index and the corresponding risk of obesity with a 1 μg/m3 increase in annual average PM2.5 concentrations in the past ten years increasing body mass index by 0.014 units and increasing the rate of adult obesity, by 0.3 percentage points. Our results are robust to using different specifications. Furthermore, the rising risk of obesity caused by air pollution is mainly through channels such as increased intake of energy-dense foods and less physical exercise. The findings imply that low pollution exposure can be an effective way to improve dietary and physical activity patterns and reduce the risk of becoming overweight.