Identifying the co-benefits of greenhouse gases (GHG) mitigation policies can have pervasive implications for climate actions, policy coordination and policy packaging. Literature have predicted the air quality co-benefits of carbon dioxide (CO2) mitigation policies but not provided empirical evidence. Our research fills the gap as one of the first studies to use actual air pollutant emissions data to examine the co-benefits of an illustrative climate policy- emission trading schemes (ETS). With the largest total amount of CO2 emissions, China has pledged itself to control domestic GHG emissions and experimented the CO2 ETS policy to achieve the objective. Therefore, with the case of Shanghai ETS pilot in China, we examine the influence of CO2 emission allowance prices on weekly sulfur dioxide (SO2) emissions at smokestack levels through a panel data analysis. The findings suggest that: the prices of CO2 emission allowances have a significantly negative influence on SO2 emission levels of the firms regulated by the CO2 ETS but no significant influence on that of non-ETS participants. We performed several falsification tests to ensure the robustness of the result. Our research provides firm-level empirical evidence on the air pollution abatement co-benefits of ETS and implies the need for the policy coordination between GHG mitigation and air pollution control to avoid the cost-ineffectiveness of the policy mix in future.