In this study, we focus our attention on the forecasting of daily PM _2.5 concentrations. According to the principle of “divide and conquer,” we propose a novel decomposition ensemble learning approach by integrating ensemble empirical mode decomposition (EEMD), artificial neural networks (ANNs), and adaptive particle swarm optimization (APSO) for forecasting PM _2.5 concentrations. Our proposed decomposition ensemble learning approach is formulated exclusively to deal with difficulties in quantitating meteorological information with high volatility, irregularity, and complicacy. This decomposition ensemble learning approach mainly consists of three steps. First, we utilize EEMD to decompose original time series of PM _2.5 concentrations into a specific amount of independent intrinsic mode functions (IMFs) and residual term. Second, the ANN, whose connection parameters are optimized by APSO algorithm, is employed to model IMFs and residual terms, respectively. Finally, another APSO-ANN is applied to aggregate the forecast IMFs and residual term into a collection as the final forecasting results. The empirical results show that the forecasting of our decomposition ensemble learning approach outperforms other benchmark models in terms of level accuracy and directional accuracy.