The impact of the planetary boundary layer (PBL) structure on the vertical distribution of aerosols in Northeast China, which experiences air pollution frequently in autumn and winter, is not well understood. We investigated the characteristics of the vertical distribution of particulate matter (PM1, PM2.5, and PM10) mass concentrations and their relationships with PBL structures in Shenyang, a provincial capital city in Northeast China, using balloon sounding data collected during an intensive observation period in November 2018. Aerosols typically decreased with increases in height and were mostly distributed below 400 m at night and reached higher altitudes (~800 m) in the daytime due to convective turbulence. The concentration ratios of PM1/PM2.5 and PM2.5/PM10 measured about 0.6 and 0.8, respectively, below 0.6–1.0 km during the daytime, and below 0.5 km at nighttime. On average, stronger atmospheric stability resulted in greater vertical gradients and higher PM concentrations near the surface. During four air pollution episodes (November 1–4, 7–10, 14–15, and 25–27), when atmospheric stability was strong at night, aerosols tended to remain in a shallow stable surface layer (< 300 m) and at the bottom of a residual layer (250–500 m) due to weak vertical mixing. After sunrise, these aerosols were mixed uniformly in the PBL (the depth increasing from 200 m to more than 1 km), subsequently affecting surface air quality. In addition, strong wind speeds and wind shears caused by nocturnal low-level jets and cold front systems influenced the formation and evolution of air pollution episodes. These processes controlled aerosol transport/dispersion processes and can modify atmospheric stability and PBL height. These results have important implications for understanding the vertical distribution of aerosols, and the crucial roles that PBL structures play in modulating aerosol pollution in Shenyang.