PM2.5, TSP, and the pollutant gases over Urumqi, an inland city near the Asian dust source region in north-western China, were measured for an entire year from March, 2008 to February, 2009. The chemical compositions of all these samples with daily visibilities were investigated for the sources and formation mechanisms of aerosol and the relationship of the optical property with various components in aerosols. The sources of the air pollutants that caused severe haze in Urumqi were clarified. It was found that the concentrations of SO42–, Cl–, NH4+, and Na+ in PM2.5 in the heating period were more than 9 times of those in the non-heating period. The concentrations of total water soluble inorganic ions (TWSII) in PM2.5 and TSP in the heating period were 7.5 and 5.5 times of those in the non-heating period. The enrichment factors of the pollution elements, e.g., S, Cd, As, Zn, Pb, Cu, Cr, and Na in PM2.5 in the heating period were 3–13 times of those in the non-heating period. The formation mechanism of the severe haze and the micro-mechanism of the visibility reduction in Urumqi in the heating period, especially in winter, were quantitatively revealed. SNA (the three secondary inorganic ions, SO42–, NO3–, and NH4+), organic matter (OM), and chloride (Cl–) in PM2.5 were the three main components to cause aerosol extinction in Urumqi. The contributions of SNA, OM, and Cl– to aerosol extinction, i.e., to visibility reduction, were 57%, 20%, and 12% during the heating period from October 15 to April 15, and 67%, 17%, and 12% in winter, respectively. It was evident that the major source of the air pollutants that caused severe haze in Urumqi was from coal combustion, for most of these ions and pollution elements in aerosols were emitted from coal burning. The control of the quality and quantity of coal burning is the key to improve the air quality and the atmospheric visibility in Urumqi.