PM_2.5 is the fine particle matter with the size smaller than 2.5 μm, and it is considered to be one of the atmospheric pollutants whose effects are the greatest on the public health. In recent years, the effects of PM_2.5 in Beijing are getting more and more public attention. Based on this situation, using the exposure-response relationship model, the health loss assessment model and the annual average concentration data of PM_2.5 from 2014 to 2015, this paper quantified the public health effect losses of PM_2.5 and estimated the economic loss utilizing the willingness to pay in Beijing. The results demonstrated that in the four different concentrations baseline levels and the three different categories, the health economic loss caused by PM_2.5 pollution was 4.83–6.63 billion yuan in 2014 and 4.32–6.32 billion yuan in 2015 in Beijing. And, the loss of the total death, cardiovascular disease death and respiratory system disease death accounted for the major loss in all kinds of health effect loss. From the results, it could also be seen that the number of people damaged by PM_2.5 and the economic loss were falling from 2014 to 2015, which showed the worsening trend of air quality began to reverse in Beijing. It had played a positive role for Beijing to continue to control atmospheric pollution. However, because the annual concentration of PM_2.5 in Beijing is still higher than four annual mean concentration baseline levels, it still exists a larger threat to the health effects.