Coronary heart disease (CHD) is a common noncommunicable disease. This study aimed to explore the association between long-term sulfur dioxide (SO₂) exposure and CHD morbidity. We conducted a retrospective cohort study in four northern Chinese cities (Tianjin, Taiyuan, Shenyang and Rizhao). This retrospective cohort study was based on the household registration information of each community in 1998 as the baseline to establish a cohort, and the follow-up of four cities was completed from September to December 2009. A questionnaire was used to collect demographic and sociological information, lifestyle, eating habits and disease history. Air pollutant data in four cities were obtained through the China National Environmental Monitoring Center. The 24-h daily average concentration was used to calculate the annual average concentration, we used annual average concentration as time-varying exposures. A Cox proportional hazard regression model was used to analyze the association between SO₂ and the risk of coronary heart disease; the potential effect modifiers were analyzed by stratification. Sensitivity analysis was used to verify the results at the same time. A total of 36,379 participants were analyzed for coronary heart disease in this study, and 1012 developed coronary heart disease; the cumulative incidence rate was 2.78%. After adjusting for age, sex, BMI, lifestyle and other related confounding factors, the risk of coronary heart disease increased by 2.5% for every 10 μg/m³ increase in SO₂ concentration. Tea drinkers and people who eat fewer vegetables and people with lower level of education were more sensitive to SO₂ exposure.