With the economic development of China, air pollutants are also growing rapidly in recent decades, especially in big cities of the country. To understand the relationship between economic condition and air pollutants in big cities, we analysed the socioeconomic indictorssuch as Gross Regional Product per capita (GRP per capita), the concentration of air pollutants (PM10, SO2, NO2) and the air pollution index (API) from 2003 to 2012 in 31 provincial capitals of mainland China. The three main industries had a quadratic correlation with NO2, but a negative relationship with PM10 and SO2. The concentration of air pollutants per ten thousand yuan decreased with the multiplying of GRP in the provinical cities. The concentration of air pollutants and API in the provincial capital cities showed a declining trend or inverted-U trend with the rise of GRP per capita, which provided a strong evidence for the Environmental Kuznets Curve (EKC), that the environmental quality first declines, then improves, with the income growth. The results of this research improved our understanding of the alteration of atmospheric quality with the increase of social economy and demonstrated the feasibility of sustainable development for China.