Shanxi Province is a typical resource-based region. After years of economic transformation, the air quality has been at a low level for a long time. The rationalization of industrial structure can measure the effect of economic transformation and whether it has an important impact on air quality. Therefore, it is necessary to study the non-linear impact that the rationalization of industrial structure has had on air quality at different stages, which is of positive significance for the continuing transformation and upgrading of resource-based regions. This study constructs a threshold regression model based on the panel data of 11 provincial cities in Shanxi Province from 2004 to 2016. The results show that the rationalization of industrial structure had a double threshold effect on air quality under different threshold variables. On the whole, optimizing the rationalization of industrial structure in Shanxi Province can improve air quality, and the improvement effect dropped first, and then began to rise. As a result, the current energy transformation and upgrading process should focus on the rationalization of industrial structure to solve the conflict between air quality and economic development.