This study aims to evaluate the impacts of the aerosol direct effect on simulated concentrations of fine particulate matter (PM2.5) over East Asia, which are controlled by heavy local air pollution and long-range transport. The online coupled Weather Research and Forecasting-Community Multiscale Air Quality (WRF-CMAQ) modeling system was applied to the one-way and the two-way simulations (without and with the aerosol direct effect) in a period from January to March 2014. The differences between the two simulations showed there were particularly large impacts of the aerosol direct effect in the eastern Asian Continent with high aerosol loading. The temporal mean contributions of the direct effect averaged over the regions from Northeast to Central China were 15% decrease in the surface shortwave radiation, 9.0% decrease in the planetary boundary layer (PBL) height, and 8.6% increase in the ground-level PM2.5 concentration. In addition, there were negative contributions of the direct effect to the PM2.5 concentration over the ocean from the Sea of Japan to the East China Sea (1.0% decrease on average throughout the period). The PM2.5 decrease over the ocean was likely attributed to reduction in the secondary PM2.5 outflow from the continent to the downwind region, which was caused by the increased dry deposition of PM2.5 precursors because of the increased ground-level concentrations within a more stable PBL over the continent. Overall, the substantial decrease of the surface shortwave radiation by the aerosol direct effect led to the enhanced atmospheric stability, and therefore, increased the ground-level PM2.5 in the heavily polluted region.