The planet is experiencing global warming, with an increasing number of heat waves worldwide. Cities are particularly affected by the high temperatures because of the urban heat island (UHI) effect. This phenomenon is mostly explained by the land cover changes, reduced green spaces, and the concentration of infrastructure in urban settings. However, the reasons for the UHI are complex and involve multiple factors still understudied. Air pollution is one of them. This work investigates the link between particulate matter ≤2.5 μm (PM2.5) and air temperature by convergent cross-mapping (CCM), a statistical method to infer causation in dynamic non-linear systems. A positive correlation between the concentration of fine particulate matter and urban temperature is observed. The causal relationship between PM2.5 and temperature is confirmed in the most urbanized areas of the study site (Quito, Ecuador). The results show that (i) the UHI is present even in the most elevated capital city of the world, and (ii) air quality is an important contributor to the higher temperatures in urban than outlying areas. This study supports the hypothesis of a non-linear threshold effect of pollution concentration on urban temperature.