In urban areas, fine particulate matter (PM2.5) associated with local vehicle emissions can cause respiratory and cardiorespiratory disease and increased mortality rates, but less so in rural areas. However, Hong Kong may be a special case, since the whole territory often suffers from regional haze from nearby mainland China, as well as local sources. Therefore, to understand which areas of Hong Kong may be affected by damaging levels of fine particulates, PM2.5 data were obtained from March 2005 to February 2009 for urban, suburban, and rural air quality monitoring stations; namely Central (city area, commercial area, and urban populated area), Tsuen Wan (city area, commercial area, urban populated, and residential area), Tung Chung (suburban and residential area), Yuen Long (urban and residential area), and Tap Mun (remote rural area). To evaluate the relative contributions of regional and local pollution sources, the study aimed to test the influence of weather conditions on PM2.5 concentrations. Thus, meteorological parameters including temperature, relative humidity, wind speed, and wind directions were obtained from the Hong Kong Observatory. The results showed that Hong Kong’s air quality is mainly affected by regional aerosol emissions, either transported from the land or ocean, as similar patterns of variations in PM2.5 concentrations were observed over urban, suburban, and rural areas of Hong Kong. Only slightly higher PM2.5 concentrations were observed over urban sites, such as Central, compared to suburban and rural sites, which could be attributed to local automobile emissions. Results showed that meteorological parameters have the potential to explain 80% of the variability in daily mean PM2.5 concentrations—at Yuen Long, 77% at Tung Chung, 72% at Central, 71% at Tsuen Wan, and 67% at Tap Mun, during the spring to summer part of the year. The results provide not only a better understanding of the impact of regional long-distance transport of air pollutants on Hong Kong’s air quality but also a reference for future regional-scale collaboration on air quality management.