The central environmental protection inspection (CEPI) system is an innovative institutional arrangement in China's environmental supervision mechanism. It is of great practical significance to explore its air pollution control effect. Using the daily panel data of 337 cities in China from October 1, 2015 to December 31, 2019, this paper empirically tests the improvement of urban air quality by the first round of CEPI and the “look-back” policy using a two-way fixed effect model. The results show that both the first round of CEPI and the “look-back” policy can significantly improve the air quality in the supervised areas on the whole, but their improvement effects on different pollutants show heterogeneity. The first round of CEPI has strong sustainability and can improve air quality for a long time, but the “look-back” policy does not have the effect of long-term pollution control, and objectively there is a certain phenomenon of “retaliatory pollution”. These two policies have different treatment effects on different pollutants, and have significant regional heterogeneity. The control effect of CEPI on air pollution is regulated by human capital, technological innovation and industrial structure, showing strong heterogeneity. This study has certain theoretical value and guiding significance for further improving the system design of the CEPI and improving the effect of air pollution governance.