The Central Plains Urban Agglomeration is an important growth pole of China’s economy, but the rapid economic growth is accompanied by serious air pollution problems. In this paper, the latest available PM_2.5 monitoring data in 2015–2017 and exposure-response relationship model are used to quantitatively analyze the health effect damages due to PM_2.5 pollution. The way of disease cost, adjusted human capital, and willingness to pay were adopted to estimate the economic loss of health effect damages. The results show that health effect damages of PM_2.5 pollution in 2015–2017 were 11.9251 million, 11.4292 million, and 11.1012 million, respectively, accounting for 7.41%, 7.05%, and 6.94% of the total population of this area. The health effect economic loss was 97.398 billion RMB, 93.516 billion RMB, and 94.485 billion RMB, accounting for 1.73%, 1.53%, and 1.41% of the GDP. Chronic bronchitis and premature death due to PM_2.5 are the main sources of health effect economic loss. Elderly people and infants are vulnerable groups of PM_2.5 pollution. Affected by economic growth level, population density, and economic structure, Heze, Zhengzhou, Handan, and Liaocheng were greatly affected by PM_2.5 pollution, and their health effect damages was larger. The health effect damages and health effect economic loss due to PM_2.5 pollution in this area show a downward trend, indicating that air pollution reduction measures have played a positive role. However, the whole effect is still large. According to the results, this paper puts forward the policies.