The COVID-19 epidemic, caused by the SARS-CoV-2 virus, has resulted in 3352 deaths in China as of April 12, 2020. This study aimed to investigate the associations between particulate matter (PM) concentrations and the case fatality rate (CFR) of COVID-19 in 49 Chinese cities, including the epicenter of Wuhan. We used the Global Moran's I to analyze spatial distribution and autocorrelation of CFRs, and then we used multivariate linear regression to analyze the associations between PM2.5 and PM10 concentrations and COVID-19 CFR. We found positive associations between PM pollution and COVID-19 CFR in cities both inside and outside Hubei Province. For every 10 μg/m3 increase in PM2.5 and PM10 concentrations, the COVID-19 CFR increased by 0.24% (0.01%–0.48%) and 0.26% (0.00%–0.51%), respectively. PM pollution distribution and its association with COVID-19 CFR suggests that exposure to such may affect COVID-19 prognosis.