An aerosol-assisted process for continuously producing sodium tungsten bronze particles in one step was proposed. The effects of the precursor solution, solvent, heating temperature, and moisture concentration on the quality (i.e., crystallinity) of the products were systematically investigated. The mechanisms for the particle formation and the chemical reactions involved in this process were also studied. By varying the atomic ratio of sodium to tungsten in the precursor solution, sodium tungsten bronze particles in the cubic (Na0.70WO3) and tetragonal (Na0.57WO3) phases were monophasically produced. Particles in both phases showed near infrared (NIR) shielding properties. However, cubic-phase particles (Na0.70WO3) possessed higher visibility in the visible light range due to their lower impurity content and higher crystallinity.