Air pollution and the urban heat island (UHI) effect are two serious problems in many cities and have become increasingly serious with accelerated urbanization. The relationship between fine particulate matter (PM_2.5) and the UHI effect has become a research topic of major interest to help avoid the vicious cycle of the UHI effect and air pollution, but recent studies still focus on correlation analysis, lacking attention to the spatiotemporal heterogeneity of their relationship. Combining remote sensing and in situ data, this study analyzed the spatiotemporal heterogeneity of the interaction between the UHI effect and PM_2.5 in Beijing over four seasons by using a coupling coordination degree model, and the characteristics of spatiotemporal heterogeneity were analyzed from both biophysical and socioeconomic aspects. The modified normalized difference water index (MNDWI) and normalized difference vegetation index (NDVI) were selected as the indices from a biophysical perspective. Urban functional areas derived from points of interest (POIs) were used to represent the area’s socioeconomic background. The results showed that the relationship between PM_2.5 and the UHI effect has spatiotemporal heterogeneity. The areas exhibiting high degrees of coupling coordination were most widely distributed in spring, and the highest degree of coupling coordination appeared in summer. The four seasons of high coupling coordination areas occurred over four seasons, covering more than 58.3% of Beijing’s area, mainly concentrated in business-related functional areas. Areas where the positive interaction between the UHI effect and air pollution was weak tended to have a higher proportion of vegetation. The results of this work are of theoretical and management value for mitigating the threat of rapid urbanization to human health.