China’s coal-fired central heating systems generate large amounts of hazardous emissions and significantly deteriorate air quality. In a regression discontinuity design based on the starting dates of winter heating, we estimate the acute health impacts of winter heating and air pollution. We find that a 10-point increase in the weekly Air Quality Index will cause a 4% increase in mortality. People in poor and rural areas are particularly vulnerable to this sudden air quality deterioration, suggesting that the health impacts of air pollution can be mitigated by better socio-economic conditions. Exploratory cost-benefit analysis suggests that replacing coal with natural gas for heating can improve social welfare.