Ambient air pollution from energy use and other sources is a major environmental risk factor in the incidence and progression of serious diseases, such as cardiovascular and respiratory diseases. This study elucidates the health effects of energy consumption from air pollution in China based on multiple threshold effects of the population-weighted exposure to PM2.5 (fine particles less than 2.5 microns in diameter) on particle-related mortality rate. We firstly estimate the causal relationship between coal consumption and PM2.5 in China for 2004–2010 using a panel regression model. Panel threshold models are applied to access the non-linear relationships between PM2.5 and cause-specific mortality rates that indicate the health effects are dependent on the PM2.5 ranges. By combining these steps, we calculate the health impacts of coal consumption based on threshold effects of PM2.5. We find that a 1% coal consumption increase induces a 0.23% increase in PM2.5. A triple threshold effect is found between PM2.5 and cardiovascular mortality; for example, increasing PM2.5 exposure causes cardiovascular mortality rate to increase when PM2.5 lies in 17.7–21.6 μg/m3 and 21.6–34.3 μg/m3, with the estimated increments being 0.81% and 0.26%, respectively, corresponding to 1% PM2.5 increase. A single threshold effect of SO2 on respiratory mortality rate is identified and allows the estimation of the mortality effects of PM2.5 regarding the two regimes of SO2. Finally, we access the health impacts of coal consumption under specific estimated thresholds. This study provides a better understanding of sources contributing to related-air pollution mortality. The multi-threshold effect of PM2.5 could be considered for further applications in harmonizing emission standards in China and other developing countries.