Investigating the net effects of foreign trade on the local environment requires a multiscale perspective. Increasingly, scholars have been investing effort to establish a global–national–local system of linkages or a local–nonlocal division of linkages. However, analysis at the megaregion level has somehow been overlooked, although megaregions play a substantial role in the context of accelerating regional integration and increasing regional pollution. This study incorporated megaregions into the existing multiscale input-output model and constructed a four-level analytical framework to analyze the emissions embodied in exports (EEE) in the Yangtze River Delta (YRD) region. Since this region pioneered the economic transition in China, this study further applies structural decomposition analysis (SDA) to investigate the structural changes in EEE. The empirical results show that EEE in the YRD region was mainly affected by local and cross-border linkages, which account for 85.1% and 9.8% of the total EEE in the region. The increase in local EEE linkages needs to be reduced by local technological innovation in sectors such as light industry and energy. To prevent the YRD from becoming a pollution haven for developed countries, the cross-border EEE linkage must be reduced by adjusting the production and consumption structure of light industry. Cross-regional EEE linkage can be reduced through technology upgrades in the construction sector. The trend of a decrease in intraregional linkage and an increase in cross-regional linkage indicates that YRD exports tend to be outward rather than inward oriented. The four-level framework for examining EEE offers new detailed insights into the mitigation of regional air pollution.